On the fundamental solution of the Fokker–Planck–Kolmogorov equation

被引：0
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作者：
A. G. Chechkin
A. S. Shamaev
机构：
[1] Moscow State University,Faculty of Mechanics and Mathematics
来源：
Doklady Mathematics | 2017年 / 95卷
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摘要：
The Fokker–Planck–Kolmogorov parabolic second-order differential operator is considered, for which its fundamental solution is derived in explicit form. Such operators arise in numerous applications, including signal filtering, portfolio control in financial mathematics, plasma physics, and problems involving linear-quadratic regulators.
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页码：55 / 59
页数：4
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