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JOURNALS // Doklady Rossijskoj Akademii Nauk. Mathematika, Informatika, Processy Upravlenia // Archive

Dokl. RAN. Math. Inf. Proc. Upr., 2021 Volume 501, Pages 11–15 (Mi danma214)

This article is cited in 2 papers

MATHEMATICS

Uniqueness of a probability solution to the Kolmogorov equation with a diffusion matrix satisfying Dini’s condition

V. I. Bogachevabcd, S. V. Shaposhnikovabd

a Lomonosov Moscow State University, Moscow, Russia
b National Research University "Higher School of Economics", Moscow, Russia
c St. Tikhon's Orthodox University, Moscow, Russia
d Moscow Center for Fundamental and Applied Mathematics, Moscow, Russia

Abstract: In this note we study the stationary Kolmogorov equation and prove that, in the case where the diffusion matrix satisfies Dini’s condition and the drift coefficient is locally integrable to a power greater than the dimension, the ratio of two probability solutions belongs to the Sobolev class, and in the case of existence of a Lyapunov function or the global integrability of the coefficients with respect to the solution a probability solution is unique.

Keywords: Kolmogorov equation, stationary solution, uniqueness of a probability solution.

UDC: 517.955

Presented: D. V. Treschev
Received: 25.06.2021
Revised: 25.06.2021
Accepted: 22.07.2021

DOI: 10.31857/S2686954321060047


 English version:
Doklady Mathematics, 2021, 104:3, 322–325

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© Steklov Math. Inst. of RAS, 2024