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JOURNALS // Sibirskii Matematicheskii Zhurnal // Archive

Sibirsk. Mat. Zh., 2024 Volume 65, Number 1, Pages 27–37 (Mi smj7837)

Kolmogorov equations for degenerate Ornstein–Uhlenbeck operators

V. I. Bogachevab, S. V. Shaposhnikovab

a Lomonosov Moscow State University, Faculty of Mechanics and Mathematics
b National Research University Higher School of Economics, Moscow

Abstract: 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.

Keywords: Kolmogorov equation, Fokker–Planck–Kolmogorov equation, Ornstein–Uhlenbeck operator.

UDC: 517.955

MSC: 35R30

Received: 04.09.2023
Revised: 04.09.2023
Accepted: 25.09.2023

DOI: 10.33048/smzh.2024.65.103



© Steklov Math. Inst. of RAS, 2024