We prove a superposition principle for nonlinear Fokker-Planck-Kolmogorov equations on Euclidean spaces and their corresponding linearized first-order continuity equation over the space of Borel (sub-)probability measures. As a consequence, we obtain equivalence of existence and uniqueness results for these equations. Moreover, we prove an analogous result for stochastically perturbed Fokker-Planck-Kolmogorov equations. To do so, we particularly show that such stochastic equations for measures are, similarly to the deterministic case, intrinsically related to linearized second-order equations on the space of Borel (sub-)probability measures.
We prove a version of the Ambrosio-Figalli-Trevisan superposition principle for a restricted subclass of solutions to the Fokker-Planck-Kolmogorov equation, that is valid on separable infinite-dimensional Hilbert spaces. Furthermore, we transfer this restricted superposition principle into a nonlinear setting.
This paper establishes Fokker-Planck-Kolmogorov type equations for time-changed Gaussian processes. Examples include those equations for a time-changed fractional Brownian motion with time-dependent Hurst parameter and for a time-changed Ornstein-Uhlenbeck process. The time-change process considered is the inverse of either a stable subordinator or a mixture of independent stable subordinators.
We study convergence in variation of probability solutions of nonlinear Fokker-Planck-Kolmogorov equations to stationary solutions. We obtain sufficient conditions for the exponential convergence of solutions to the stationary solution in case of coefficients that can have an arbitrary growth at infinity and depend on the solutions through convolutions with unbounded discontinuous kernels. In addition, we study a more difficult case where the nonlinear equation has several stationary solutions and convergence to a stationary solution depends on initial data. Finally, we obtain sufficient condi…
We prove a new uniqueness result for solutions to Fokker-Planck-Kolmogorov (FPK) equations for probability measures on infinite-dimensional spaces. We consider infinite-dimensional drifts that admit certain finite-dimensional approximations. In contrast to most of the previous work on FPK-equations in infinite dimensions, we include cases with non-constant coefficients in the second order part and also include degenerate cases where these coefficients can even be zero. Also a new existence result is proved. Some applications to Fokker-Planck-Kolmogorov equations associated with SPDEs are prese…
We prove two new results connected with elliptic Fokker-Planck-Kolmogorov equations with drifts integrable with respect to solutions. The first result answers negatively a long-standing question and shows that a density of a probability measure satisfying the Fokker-Planck-Kolmogorov equation with a drift integrable with respect to this density can fail to belong to the Sobolev class~$W^{1,1}(\mathbb{R}^d)$. There is also a version of this result for densities with respect to Gaussian measures. The second new result gives some positive information about properties of such solutions: the soluti…
We provide a method to select flows of solutions to the Cauchy problem for linear and nonlinear Fokker--Planck--Kolmogorov equations (FPK equations) for measures on Euclidean space. In the linear case, our method improves similar results of a previous work of the author. Our consideration of flow selections for nonlinear equations, including the particularly interesting case of Nemytskii-type coefficients, seems to be new. We also characterize the (restricted) well-posedness of FPK equations by the uniqueness of such (restricted) flows. Moreover, we show that under suitable assumptions in the …
It is proved that the distributions of scaling limits of Continuous Time Random Walks (CTRWs) solve integro-differential equations akin to Fokker-Planck Equations for diffusion processes. In contrast to previous such results, it is not assumed that the underlying process has absolutely continuous laws. Moreover, governing equations in the backward variables are derived. Three examples of anomalous diffusion processes illustrate the theory.
We consider a Markov process on a Riemannian manifold, which solves a stochastic differential equation in the interior of the manifold and jumps according to a deterministic reset map when it reaches the boundary. We derive a partial differential equation for the probability density function, involving a non-local boundary condition which accounts for the jumping behaviour of the process. This is a generalisation of the usual Fokker-Planck-Kolmogorov equation for diffusion processes. The result is illustrated with an example in the field of stochastic hybrid systems.
This paper focuses on the time-changed Q-Wiener process, a Hilbert space-valued sub-diffusion. It is a martingale with respect to an appropriate filtration, hence a stochastic integral with respect to it is definable. For the resulting integral, two change of variables formulas are derived. Via a duality theorem for integrals, existence and uniqueness theorems for stochastic differential equations (SDEs) driven by the time-changed Q-Wiener process are discussed. Associated fractional Fokker-Planck-Kolmogorov equations are derived using either a time-changed Itô formula or duality. Connections …
We prove a generalization of the known result of Trevisan on the Ambrosio-Figalli-Trevisan superposition principle for probability solutions to the Cauchy problem for the Fokker-Planck-Kolmogorov equation, according to which such a solution is generated by a solution to the corresponding martingale problem. The novelty is that in place of the integrability of the diffusion and drift coefficients $A$ and $b$ with respect to the solution we require the integrability of $(\|A(t,x)\|+|\langle b(t,x),x\rangle |)/(1+|x|^2)$. Therefore, in the case where there are no a priori global integrability con…
Let the coefficients $a_{ij}$ and $b_i$, $i,j \leq d$, of the linear Fokker-Planck-Kolmogorov equation (FPK-eq.) $$\partial_tμ_t = \partial_i\partial_j(a_{ij}μ_t)-\partial_i(b_iμ_t)$$ be Borel measurable, bounded and continuous in space. Assume that for every $s \in [0,T]$ and every Borel probability measure $ν$ on $\mathbb{R}^d$ there is at least one solution $μ= (μ_t)_{t \in [s,T]}$ to the FPK-eq. such that $μ_s = ν$ and $t \mapsto μ_t$ is continuous w.r.t. the topology of weak convergence of measures. We prove that in this situation, one can always select one solution $μ^{s,ν}$ for each pai…
We associate a coupled nonlinear Fokker-Planck equation on $\R^d$, i.e. with solution paths in $\scr P$, to a linear Fokker-Planck equation for probability measures on the product space $\R^d\times \scr P$, i.e. with solution paths in $\scr P(\R^d\times\scr P)$. We explicitly determine the corresponding linear Kolmogorov operator $\tilde{\mathbf{L}}_t$ using the natural tangent bundle over $\scr P$ with corresponding gradient operator $\nabla^\scr P$. Then it is proved that the diffusion process generated by $\tilde{\mathbf{L}}_t$ on $\R^d\times\scr P$ is intrinsically related to the solution …
In this paper we study second order stochastic differential equations with measurable and density-distribution dependent coefficients. Through establishing a maximum principle for kinetic Fokker-Planck-Kolmogorov equations with distribution-valued inhomogeneous term, we show the existence of weak solutions under mild assumptions. Moreover, by using the Hölder regularity estimate obtained recently in \cite{GIMV19}, we also show the well-posedness of generalized martingale problems when diffusion coefficients only depend on the position variable (not necessarily continuous). Even in the non dens…
We prove that every probability measure $μ$ satisfying the stationary Fokker-Planck-Kolmogorov equation obtained by a $μ$-integrable perturbation $v$ of the drift term $-x$ of the Ornstein-Uhlenbeck operator is absolutely continuous with respect to the corresponding Gaussian measure $γ$ and for the density $f=dμ/dγ$ the integral of $f |\log (f+1)|^α$ against $γ$ is estimated via $\|v\|_{L^1(μ)}$ for all $α<1/4$, which is a weakened $L^1$-analog of the logarithmic Sobolev inequality. This means that stationary measures of diffusions whose drifts are integrable perturbations of $-x$ are absolute…
A general formulation of the Fokker-Planck-Kolmogorov (FPK) equation for stochastic hybrid systems is presented, within the framework of Generalized Stochastic Hybrid Systems (GSHS). The FPK equation describes the time evolution of the probability law of the hybrid state. Our derivation is based on the concept of mean jump intensity, which is related to both the usual stochastic intensity (in the case of spontaneous jumps) and the notion of probability current (in the case of forced jumps). This work unifies all previously known instances of the FPK equation for stochastic hybrid systems, and …
We develop a general technique to prove uniqueness of solutions for Fokker--Planck equations on infinite dimensional spaces. We illustrate this method by implementing it for Fokker--Planck equations in Hilbert spaces with Kolmogorov operators with irregular coefficients and both non-degenerate or degenerate second order part.
In this paper we develop a new technique to prove existence of solutions of Fokker-Planck equations on Hilbert spaces for Kolmogorov operators with non trace-class second order coefficients or equivalently with an associated stochastic partial differential equation (SPDE) with non trace-class noise. Applications include stochastic 2D and 3D-Navier-Stokes equations with non trace-class additive noise.
This paper has been withdrawn from the arXiv. It is now published by Elsevier in Nonlinear Analysis: Hybrid Systems, see http://dx.doi.org/10.1016/j.nahs.2009.07.008 . A general formulation of the Fokker-Planck-Kolmogorov (FPK) equation for stochastic hybrid systems is presented, within the framework of Generalized Stochastic Hybrid Systems (GSHS). The FPK equation describes the time evolution of the probability law of the hybrid state. Our derivation is based on the concept of mean jump intensity, which is related to both the usual stochastic intensity (in the case of spontaneous jumps) and t…
We consider a stochastic differential equation in a Hilbert space with time-dependent coefficients for which no general existence and uniqueness results are known. We prove, under suitable assumptions, existence and uniqueness of a measure valued solution, for the corresponding Fokker--Planck equation. In particular, we verify the Chapman--Kolmogorov equations and get an evolution system of transition probabilities for the stochastic dynamics informally given by the stochastic differential equation.
Moscow Lomonosov State University（莫斯科国立罗蒙诺索夫大学）；National Research University “Higher School of Economics”（国立高等经济大学）；Bielefeld University, Germany（德国比勒费尔德大学）
We study optimal finite dimensional approximations of the generally infinite-dimensional Fokker-Planck-Kolmogorov (FPK) equation, finding the curve in a given finite-dimensional family that best approximates the exact solution evolution. For a first local approximation we assign a manifold structure to the family and a metric. We then project the vector field of the partial differential equation (PDE) onto the tangent space of the chosen family, thus obtaining an ordinary differential equation for the family parameter. A second global approximation will be based on projecting directly the exac…
We are concerned with a viscous Burgers equation forced by a perturbation of white noise type. We study the corresponding transition semigroup in a space of continuous functions weighted by a proper potential, and we show that the infinitesimal generator is the closure (with respect to a suitable topology) of the Kolmogorov operator associated to the stochastic equation. In the last part of the paper we use this result to solve the corresponding Fokker-Planck equation.
The boundary conditions for the Fokker-Planck equations, forward and backward ones are directly derived from the Chapman-Kolmogorov equation for M-dimensional region with boundaries. The boundaries are assumed, in addition, to be able to absorb wandering particles or to give rise to fast surface transport. It is demonstrated that the boundaries break down the symmetry of random walks in their vicinity, leading to the boundary singularities in the corresponding kinetic coefficients. Eliminating these singularities we get the desired boundary conditions. As it must be the boundary condition for …
In the current paper Fokker Planck model of random walks has been extended to non conservative cases characterized by explicit dependence of diffusion and energy on time. A given generalization allows describing of such non equilibrium processes as Levy flights in a classical differential form without use of fractal PDE. Besides it takes into account mixing properties that are obligatory for a certain class of chaotic systems such as Kolmogorov K system. It was shown that an abnormal transport is a consequence of the equilibrium distortion and not stationary diffusion. The particular case of f…
In this paper, we construct the fundamental solution to a degenerate diffusion of Kolmogorov type and develop a time-discrete variational scheme for its adjoint equation. The so-called mean squared derivative cost function plays a crucial role occurring in both the fundamental solution and the variational scheme. The latter is implemented by minimizing a free energy functional with respect to the Kantorovich optimal transport cost functional associated with the mean squared derivative cost. We establish the convergence of the scheme to the solution of the adjoint equation generalizing previous…
We study the evolution of states of an infinite system of point particles dwelling in a locally compact Polish space $X$. Each particle produces at random a finite `cloud' of offsprings distributed over $X$ according to some law, and disappears afterwards. The system's states are probability measures on an appropriate space of locally finite counting measures on $X$. Their evolution is obtained by solving the corresponding Fokker-Planck equation. We prove that this equation has a unique solution and discuss some of its properties. Our pivotal idea of dealing with infinite systems consists in p…
We consider a nonlinear stochastic differential equation driven by an $α$-stable Lévy process ($1<α<2$). We first obtain some regularity results for the probability density of its invariant measure via establishing the a priori estimate of the corresponding stationary Fokker-Planck equation. Then by the a priori estimate of Kolmogorov backward equations and the perturbation property of Markov semigroup, we derive the response function and generalize the famous linear response theory in nonequilibrium statistical mechanics to non-Gaussian stochastic dynamic systems.
We employ weak hypocoercivity methods to study the long-term behavior of operator semigroups generated by degenerate Kolmogorov operators with variable second-order coefficients, which solve the associated abstract Cauchy problem. We prove essential m-dissipativity of the operator, which extends previous results and is key to the rigorous analysis required. We give estimates for the $L^2$-convergence rate by using weak Poincaré inequalities. As an application, we obtain estimates for the (sub-)exponential convergence rate of solutions to the corresponding degenerate Fokker-Planck equations and…
In this article we develop a new abstract strategy for proving ergodicity with explicit computable rate of convergence for diffusions associated with a degenerate Kolmogorov operator L. A crucial point is that the evolution operator L may have singular and nonsmooth coefficients. This allows the application of the method e.g. to degenerate and singular particle systems arising in Mathematical Physics. As far as we know in such singular cases the relaxation to equilibrium can't be discussed with the help of existing approaches using hypoellipticity, hypocoercivity or stochastic Lyapunov type te…
This paper presents a new type of Gronwall-Bellman inequality, which arises from a class of integral equations with a mixture of nonsingular and singular integrals. The new idea is to use a binomial function to combine the known Gronwall-Bellman inequalities for integral equations having nonsingular integrals with those having singular integrals. Based on this new type of Gronwall-Bellman inequality, we investigate the existence and uniqueness of the solution to a fractional stochastic differential equation (SDE) with fractional order on (0, 1). This result generalizes the existence and unique…
Regularization of the superposition principle: Potential theory meets Fokker-Planck equations
Simion Stoilow Institute of Mathematics of the Romanian Academy（罗马尼亚科学院西奥多·斯托伊洛数学研究所）；University POLITEHNICA Bucharest（布加勒斯特理工大学）；Department of Mathematics, Faculty of Mathematics and Computer Science, University of Bucharest（布加勒斯特大学数学与计算机科学系）；Fakultät für Mathematik, Universität Bielefeld（比勒费尔德大学数学系）；Academy for Mathematics and Systems Science, CAS（中国科学院数学与系统科学研究院）；School of Data Science, The Chinese University of Hong Kong, Shenzhen (CUHK-Shenzhen)（香港中文大学（深圳）数据科学学院）
