Khas'minskii's Theorem for the Kolmogorov Equation

S. V. Shaposhnikov ; D. V. Shatilovich

Matematičeskie zametki, Tome 115 (2024) no. 3, pp. 466-480

Résumé

The stationary Kolmogorov equation with partially singular diffusion matrix and discontinuous drift coefficient is studied. Sufficient conditions for the existence of a probabilistic solution are obtained. Examples demonstrating the sharpness of these conditions are given.

Détail

Keywords: Kolmogorov equation, invariant measure of a diffusion process, Lyapunov function.

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