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Teoriya Veroyatnostei i ee Primeneniya, 2000, Volume 45, Issue 3, Pages 417–436
DOI: https://doi.org/10.4213/tvp478
(Mi tvp478)
 

This article is cited in 70 scientific papers (total in 71 papers)

A generalization of Khasminskii's theorem on the existence of invariant measures for locally integrable drifts

V. I. Bogacheva, M. Röcknerb

a M. V. Lomonosov Moscow State University, Faculty of Mechanics and Mathematics
b Universität Bielefeld, Fakultät für Mathematik, Germany
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, AijHp,1loc(Rn), BiLploc(Rn), where p>n. We show that the existence of a Lyapunov function for the operator LA,Bf=Aijxixjf+Bixif 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 LA,Bμ=0 in the weak sense and is an invariant measure for the diffusion with the generator LA,B on domain C0(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.
Keywords: invariant measure, diffusion process.
Received: 05.08.1998
English version:
Theory of Probability and its Applications, 2001, Volume 45, Issue 3, Pages 363–378
DOI: https://doi.org/10.1137/S0040585X97978348
Bibliographic databases:
Language: Russian
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
Citation in format AMSBIB
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\pages 417--436
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\jour Theory Probab. Appl.
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\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
    This publication is cited in the following 71 articles:
    1. S. V. Shaposhnikov, D. V. Shatilovich, “Khas'minskii's Theorem for the Kolmogorov Equation with Partially Singular Diffusion Matrix”, Math. Notes, 115:3 (2024), 427–438  mathnet  crossref  crossref  mathscinet
    2. Hicham Kouhkouh, “A Viscous Ergodic Problem with Unbounded and Measurable Ingredients, Part 1: HJB Equation”, SIAM J. Control Optim., 62:1 (2024), 415  crossref
    3. Martino Bardi, Hicham Kouhkouh, “Deep Relaxation of Controlled Stochastic Gradient Descent via Singular Perturbations”, SIAM J. Control Optim., 62:4 (2024), 2229  crossref
    4. 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  mathnet  crossref  crossref
    5. Vladimir I. Bogachev, Michael Röckner, Stanislav V. Shaposhnikov, “Zvonkin's transform and the regularity of solutions to double divergence form elliptic equations”, Communications in Partial Differential Equations, 48:1 (2023), 119  crossref
    6. Lee H., Trutnau G., “Existence and Uniqueness of (Infinitesimally) Invariant Measures For Second Order Partial Differential Operators on Euclidean Space”, J. Math. Anal. Appl., 507:1 (2022), 125778  crossref  isi
    7. V. I. Bogachev, M. Röckner, S. V. Shaposhnikov, “Applications of Zvonkin's transform to stationary Kolmogorov equations”, Dokl. Math., 106:2 (2022), 318–321  mathnet  crossref  crossref  mathscinet  elib
    8. P. A. Borodin, I. A. Ibragimov, B. S. Kashin, V. V. Kozlov, A. V. Kolesnikov, S. V. Konyagin, E. D. Kosov, O. G. Smolyanov, N. A. Tolmachev, D. V. Treshchev, A. V. Shaposhnikov, S. V. Shaposhnikov, A. N. Shiryaev, A. A. Shkalikov, “Vladimir Igorevich Bogachev (on his 60th birthday)”, Russian Math. Surveys, 76:6 (2021), 1149–1157  mathnet  crossref  crossref  mathscinet  zmath  adsnasa  isi
    9. Qi W., Shen Zh., Wang Sh., Yi Y., “Towards Mesoscopic Ergodic Theory”, Sci. China-Math., 63:9 (2020), 1853–1876  crossref  mathscinet  isi
    10. Tang W., “Exponential Ergodicity and Convergence For Generalized Reflected Brownian Motion”, Queueing Syst., 92:1-2 (2019), 83–101  crossref  mathscinet  isi
    11. Arapostathis A., Caffarelli L., Pang G., Zheng Y., “Ergodic Control of a Class of Jump Diffusions With Finite Levy Measures and Rough Kernels”, SIAM J. Control Optim., 57:2 (2019), 1516–1540  crossref  isi
    12. Arapostathis A., Biswas A., Caffarelli L., “On Uniqueness of Solutions to Viscous Hjb Equations With a Subquadratic Nonlinearity in the Gradient”, Commun. Partial Differ. Equ., 44:12 (2019), 1466–1480  crossref  mathscinet  isi
    13. Ji M., Shen Zh., Yi Y., “Quantitative Concentration of Stationary Measures”, Physica D, 399 (2019), 73–85  crossref  mathscinet  isi
    14. Ji M., Shen Zh., Yi Y., “Convergence to Equilibrium in Fokker-Planck Equations”, J. Dyn. Differ. Equ., 31:3, SI (2019), 1591–1615  crossref  mathscinet  isi
    15. Ji M., Qi W., Shen Zh., Yi Y., “Existence of Periodic Probability Solutions to Fokker-Planck Equations With Applications”, J. Funct. Anal., 277:11 (2019), UNSP 108281  crossref  mathscinet  isi
    16. Li Ya., “A Data-Driven Method For the Steady State of Randomly Perturbed Dynamics”, Commun. Math. Sci., 17:4 (2019), 1045–1059  crossref  mathscinet  isi
    17. Huang W., Ji M., Liu Zh., Yi Y., “Concentration and Limit Behaviors of Stationary Measures”, Physica D, 369 (2018), 1–17  crossref  mathscinet  isi  scopus
    18. 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  crossref  mathscinet  zmath  isi  scopus
    19. Vladimir I. Bogachev, Springer Proceedings in Mathematics & Statistics, 229, Stochastic Partial Differential Equations and Related Fields, 2018, 3  crossref
    20. V. I. Bogachev, A. I. Kirillov, S. V. Shaposhnikov, “Distances between stationary distributions of diffusions and solvability of nonlinear Fokker–Planck–Kolmogorov equations”, Theory Probab. Appl., 62:1 (2018), 12–34  mathnet  crossref  crossref  mathscinet  zmath  isi  elib
    Citing articles in Google Scholar: Russian citations, English citations
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    Теория вероятностей и ее применения Theory of Probability and its Applications
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