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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… Click to show full abstract
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.
Keywords:
fokker planck;
planck kolmogorov;
fundamental solution
Journal Title: Doklady Mathematics
Year Published: 2017
Link to full text (if available)
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Journal Title: Doklady Mathematics
Year Published: 2017
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!