Differentiability of solutions of stationary Fokker--Planck--Kolmogorov equations with respect to a parameter

Vladimir I.  Bogachev; Stanislav V.  Shaposhnikov; Alexander Yu.  Veretennikov

doi:10.3934/dcds.2016.36.3519

Article Contents

2016, Volume 36, Issue 7: 3519-3543. Doi: 10.3934/dcds.2016.36.3519

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Differentiability of solutions of stationary Fokker--Planck--Kolmogorov equations with respect to a parameter

1.
National Research University Higher School of Economics, Vavilova 7, Moscow, 117312
2.
University of Leeds, Leeds, LS2 9JT

Received: February 2015

Revised: December 2015

Published: May 2017

Abstract / Introduction Related Papers Cited by

Abstract

We obtain sufficient conditions for the differentiability of solutions to stationary Fokker--Planck--Kolmogorov equations with respect to a parameter. In particular, this gives conditions for the differentiability of stationary distributions of diffusion processes with respect to a parameter.

Keywords:

Stationary Fokker--Planck--Kolmogorov equation,
differentiability with respect to a parameter.

Mathematics Subject Classification: Primary: 35J15; Secondary: 60J60.

Citation:

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