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On uniqueness of solutions to nonlinear Fokker--Planck--Kolmogorov equations  [PDF]
Oxana A. Manita,Maxim S. Romanov,Stanislav V. Shaposhnikov
Mathematics , 2014,
Abstract: We study uniqueness of flows of probability measures solving the Cauchy problem for nonlinear Fokker-Planck-Kolmogorov equation with unbounded coefficients. Sufficient conditions for uniqueness are indicated and examples of non-uniqueness are constructed.
Parallelizing the Kolmogorov-Fokker-Planck Equation  [PDF]
Luca Gerardo-Giorda,Minh-Binh Tran
Mathematics , 2013,
Abstract: We design the first parallel scheme based on Schwarz waveform relaxation methods for the Kolmogorov-Fokker-Planck equation. We introduce a new convergence proof for the algorithms. We also provide results about the existence and uniqueness of a solution for this equation with several boundary conditions, in order to prove that our algorithms are well-posed. Numerical tests are also provided.
Solution of linearized Fokker - Planck equation for incompressible fluid  [PDF]
Igor A. Tanski
Physics , 2009,
Abstract: In this work we construct algebraic equation for elements of spectrum of linearized Fokker - Planck differential operator for incompressible fluid. We calculate roots of this equation using simple numeric method. For all these roots real part is positive, that is corresponding solutions are damping. Eigenfunctions of linearized Fokker - Planck differential operator for incompressible fluid are expressed as linear combinations of eigenfunctions of usual Fokker - Planck differential operator. Poisson's equation for pressure is derived from incompressibility condition. It is stated, that the pressure could be totally eliminated from dynamics equations. The Cauchy problem setup and solution method is presented. The role of zero pressure solutions as eigenfunctions for confluent eigenvalues is emphasized.
Fokker-Planck-Kolmogorov equation for stochastic differential equations with boundary hitting resets  [PDF]
Julien Bect,Hana Baili,Gilles Fleury
Mathematics , 2005,
Abstract: We consider a Markov process on a Riemannian manifold, which solves a stochastic differential equation in the interior of the manifold and jumps according to a deterministic reset map when it reaches the boundary. We derive a partial differential equation for the probability density function, involving a non-local boundary condition which accounts for the jumping behaviour of the process. This is a generalisation of the usual Fokker-Planck-Kolmogorov equation for diffusion processes. The result is illustrated with an example in the field of stochastic hybrid systems.
Estimates for the Kantorovich distances between solutions to the nonlinear Fokker-Planck-Kolmogorov equation with monotone drift  [PDF]
Oxana Manita
Mathematics , 2015,
Abstract: We obtain estimates for the Kantorovich distances between solutions to the nonlinear Fokker-Planck-Kolmogorov equation for measures with different initial conditions. To this aim, we derive estimates for distances between solutions to different linear equations, i.e. with different drift terms and different initial datum. We also show a possible way of studying well-posedness for nonlinear equations based on such estimates for linear equations.
Fokker-Planck and Chapman-Kolmogorov equations for Ito processes with finite memory  [PDF]
Joseph L. McCauley
Quantitative Finance , 2007, DOI: 10.1007/978-1-4020-8761-5_8
Abstract: The usual derivation of the Fokker-Planck partial differential eqn. assumes the Chapman-Kolmogorov equation for a Markov process. Starting instead with an Ito stochastic differential equation we argue that finitely many states of memory are allowed in Kolmogorov's two pdes, K1 (the backward time pde) and K2 (the Fokker-Planck pde), and show that a Chapman-Kolmogorov eqn. follows as well. We adapt Friedman's derivation to emphasize that finite memory is not excluded. We then give an example of a Gaussian transition density with 1 state memory satisfying both K1, K2, and the Chapman-Kolmogorov eqns. We begin the paper by explaining the meaning of backward diffusion, and end by using our interpretation to produce a new, short proof that the Green function for the Black-Scholes pde describes a Martingale in the risk neutral discounted stock price.
Fundamental solution of Fokker - Planck equation  [PDF]
Igor A. Tanski
Physics , 2004,
Abstract: Fundamental solution of Fokker - Planck equation is built by means of the Fourier transform method. The result is checked by direct calculation. Changes: missed factor in (29), (30), corrected (31), (35), removed former (36), added explanation on prolonged operators (45), (46), (47).
Fundamental solution of degenerated Fokker - Planck equation  [PDF]
Igor A. Tanski
Physics , 2008,
Abstract: Fundamental solution of degenerated Fokker - Planck equation is built by means of the Fourier transform method. The result is checked by direct calculation.
A unifying formulation of the Fokker-Planck-Kolmogorov equation for general stochastic hybrid systems  [PDF]
Julien Bect
Mathematics , 2008, DOI: 10.3182/20080706-5-KR-1001.3331
Abstract: A general formulation of the Fokker-Planck-Kolmogorov (FPK) equation for stochastic hybrid systems is presented, within the framework of Generalized Stochastic Hybrid Systems (GSHS). The FPK equation describes the time evolution of the probability law of the hybrid state. Our derivation is based on the concept of mean jump intensity, which is related to both the usual stochastic intensity (in the case of spontaneous jumps) and the notion of probability current (in the case of forced jumps). This work unifies all previously known instances of the FPK equation for stochastic hybrid systems, and provides GSHS practitioners with a tool to derive the correct evolution equation for the probability law of the state in any given example.
Lie symmetries of fundamental solutions of one (2+1)-dimensional ultra-parabolic Fokker--Planck--Kolmogorov equation  [PDF]
Sergii Kovalenko,Valeriy Stogniy,Maksym Tertychnyi
Mathematics , 2014,
Abstract: A (2+1)-dimensional linear ultra-parabolic Fokker--Planck--Kolmogorov equation is investigated from the group-theoretical point of view. By using the Berest--Aksenov approach, an algebra of invariance of fundamental solutions of the equation is found. A fundamental solution of the equation under study is computed in an explicit form as a weak invariant solution.
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