Abstract:
Let A=(Aij) be a mapping with values in the space of the nonnegative symmetric operators on Rn and let B=(Bi) be a Borel vector field on Rn such that A is locally uniformly nondegenerate, Aij∈Hp,1loc(Rn), Bi∈Lploc(Rn), where p>n. We show that the existence of a Lyapunov function for the operator LA,Bf=∑Aij∂xi∂xjf+∑Bi∂xif is sufficient for the existence of a probability measure μ with a strictly positive continuous density in the class Hp,1loc(Rn) such that μ satisfies L∗A,Bμ=0 in the weak sense and is an invariant measure for the diffusion with the generator LA,B on domain C∞0(Rn). For arbitrary continuous nondegenerate A and locally bounded B, we prove the existence of absolutely continuous solutions. An analogous generalization of Khasminskii's theorem is obtained for manifolds.
Citation:
V. I. Bogachev, M. Röckner, “A generalization of Khasminskii's theorem on the existence of invariant measures for locally integrable drifts”, Teor. Veroyatnost. i Primenen., 45:3 (2000), 417–436; Theory Probab. Appl., 45:3 (2001), 363–378
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\by V.~I.~Bogachev, M.~R\"ockner
\paper A generalization of Khasminskii's theorem on the existence of invariant measures for locally integrable drifts
\jour Teor. Veroyatnost. i Primenen.
\yr 2000
\vol 45
\issue 3
\pages 417--436
\mathnet{http://mi.mathnet.ru/tvp478}
\crossref{https://doi.org/10.4213/tvp478}
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\zmath{https://zbmath.org/?q=an:1004.60061}
\transl
\jour Theory Probab. Appl.
\yr 2001
\vol 45
\issue 3
\pages 363--378
\crossref{https://doi.org/10.1137/S0040585X97978348}
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Linking options:
https://www.mathnet.ru/eng/tvp478
https://doi.org/10.4213/tvp478
https://www.mathnet.ru/eng/tvp/v45/i3/p417
Erratum
Letter to the editors V. I. Bogachev, M. Röckner Teor. Veroyatnost. i Primenen., 2001, 46:3, 600
This publication is cited in the following 71 articles:
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V. I. Bogachev, M. Röckner, S. V. Shaposhnikov, “Kolmogorov problems on equations for stationary and transition probabilities of diffusion processes”, Theory Probab. Appl., 68:3 (2023), 342–369
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Bogachev V.I., Krasovitskii T.I., Shaposhnikov S.V., “On Non-Uniqueness of Probability Solutions to the Two-Dimensional Stationary Fokker-Planck-Kolmogorov Equation”, Dokl. Math., 98:2 (2018), 475–479
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