Solution to differential equation with time continuous Markov coefficient

DOI10.3103/S1066369X14120068zbMath1310.60086WikidataQ115223331 ScholiaQ115223331MaRDI QIDQ2262954

Yu. A. Lygin

Publication date: 17 March 2015

Published in: Russian Mathematics (Search for Journal in Brave)

zbMATH Keywords

stochastic differential equationsprobability densitycorrelation functionFokker-Planck-Kolmogorov equationtime-continuous Markov process

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Continuous-time Markov processes on discrete state spaces (60J27) Fokker-Planck equations (35Q84)

Cites Work

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• Ordinary differential or difference equations with random coefficients and random right-hand side

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