Kolmogorov Equations for Degenerate Ornstein–Uhlenbeck Operators

We consider Kolmogorov operators with constant diffusion matrices and linear drifts, i.e., Ornstein–Uhlenbeck operators, and show that all solutions to the corresponding stationary Fokker–Planck–Kolmogorov equations (including signed solutions) are invariant measures for the generated semigroups. Th...

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Veröffentlicht in:Siberian mathematical journal 2024, Vol.65 (1), p.21-29
Hauptverfasser: Bogachev, V. I., Shaposhnikov, S. V.
Format: Artikel
Sprache:eng
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Zusammenfassung:We consider Kolmogorov operators with constant diffusion matrices and linear drifts, i.e., Ornstein–Uhlenbeck operators, and show that all solutions to the corresponding stationary Fokker–Planck–Kolmogorov equations (including signed solutions) are invariant measures for the generated semigroups. This also gives a relatively explicit description of all solutions.
ISSN:0037-4466
1573-9260
DOI:10.1134/S0037446624010038