Open AccessOn the superposition principle for Fokker-Planck-Kolmogorov equations
Author(s) -
V. I. Bogachev,
M. Röckner,
S. V. Shaposhnikov
Publication year - 2019
Publication title -
doklady akademii nauk. rossijskaâ akademiâ nauk
Language(s) - English
Resource type - Journals
ISSN - 0869-5652
DOI - 10.31857/s0869-56524875483-486
Subject(s) - superposition principle , fokker–planck equation , generalization , mathematics , martingale (probability theory) , kolmogorov equations (markov jump process) , mathematical physics , mathematical analysis , physics , statistical physics , partial differential equation , differential equation , differential algebraic equation , ordinary differential equation
We give a generalization of the so-called superposition principle for probability solutions to the Cauchy problem for the Fokker-Planck-Kolmogorov equation, according to which such a solution is generated by a solution to the corresponding martingale problem.