On the Fundamental Solution
of the Fokker–Planck–Kolmogorov Equation
A. G. Chechkin* and A. S. Shamaev**
Translated by I. Ruzanova
Faculty of Mechanics and Mathematics,
Moscow State University, Moscow, 119991 Russia
Correspondence to: * e-mail: a.g.chechkin@gmail.com
Correspondence to: ** e-mail: sham@rambler.ru
Received 29 September, 2016
Abstract—The Fokker–Planck–Kolmogorov parabolic second-order differential operator is considered, for which its fundamental solution is derived in explicit form. Such operators arise in numerous applications, including signal filtering, portfolio control in financial mathematics, plasma physics, and problems involving linear-quadratic regulators.
DOI: 10.1134/S1064562417010161