Kolmogorov equations

Known as: Forward equation, Kolmogorov backward equation, Kolmogorov forward equation

In probability theory, Kolmogorov equations, including Kolmogorov forward equations and Kolmogorov backward equations, characterize random dynamic…

Papers overview

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2011

We develop an approach to the construction of Lyapunov functions for the forward equation of a nite state nonlinear Markov…

2009

We study an infinite-dimensional Ornstein-Uhlenbeck process $(X_t)$ in a given Hilbert space $H$. This is driven by a…

2008

The objective of the paper is to investigate the approximate controllability property of a linear stochastic control system with…

2008

Quantum states can be described equivalently by density matrices, Wigner functions, or quantum tomograms. We analyze the accuracy…

2007

Factorization of the (formal) path integral measure in a Wiener path integrals for Yang--Mills diffusion is studied. Using the…

2005

The problem of solving the Black-Scholes equation for the valuation of American options is tackled using a Crank-Nicolson finite…

2003

In this work we describe an approach that implicitly formulates and solves the Chapman-Kolmogorov equations that describe the…

2002

The joint dynamics of the instantaneous and exponentially averaged queue length in an M/M/1/K queue is studied. A system of…

1989

A relationship between the intensities of offered traffic and loss probabilities in a circuit-switched network with general…

1986

We prove that the only solution of the partial differential inequality ut + fE [ux,x +( ] (x) c[u2 + I uI] on a bounded region…