RUS  ENG
Full version
JOURNALS // Matematicheskii Sbornik // Archive

Mat. Sb., 2021 Volume 212, Number 6, Pages 3–42 (Mi sm9427)

This article is cited in 6 papers

On uniqueness of probability solutions of the Fokker-Planck-Kolmogorov equation

V. I. Bogachevab, T. I. Krasovitskiiac, S. V. Shaposhnikovab

a Faculty of Mechanics and Mathematics, Lomonosov Moscow State University, Moscow, Russia
b National Research University Higher School of Economics, Moscow, Russia
c Moscow Center for Fundamental and Applied Mathematics, Moscow, Russia

Abstract: The paper gives a solution to the long-standing problem of uniqueness for probability solutions to the Cauchy problem for the Fokker-Planck-Kolmogorov equation with an unbounded drift coefficient and unit diffusion coefficient. It is proved that in the one-dimensional case uniqueness holds and in all other dimensions it fails. The case of nonconstant diffusion coefficients is also investigated.
Bibliography: 70 titles.

Keywords: Fokker-Planck-Kolmogorov equation, Cauchy problem, uniqueness problem.

UDC: 517.955

MSC: 35Q84

Received: 21.04.2020 and 28.11.2020

DOI: 10.4213/sm9427


 English version:
Sbornik: Mathematics, 2021, 212:6, 745–781

Bibliographic databases:


© Steklov Math. Inst. of RAS, 2024