Ergodic Properties of Recurrent Diffusion Processes and Stabilization of the Solution to the Cauchy Problem for Parabolic Equations
Author:
- R. Z. Khas’minskiiRKR. Z. Khas’minskii
- 1 January 1960
- journal article
- Published by Society for Industrial & Applied Mathematics (SIAM) in Theory of Probability & Its Applications
- Vol. 5 (2) , 179-196
Abstract
In this paper the existence of a unique invariant measure for Markov processes satisfying the conditions $1^ \circ - 9^ \circ $ is proved. This result is applied to obtain the asymptotic properties of the solution to the Cauchy problem for the parabolic equation $\partial u/\partial t = Lu$ when $t \to + \infty $. It is established that these properties depend on properties of the solution to the extremal Dirichlet problem for the equations $Lu = 0$ and $Lu = - 1$. The sufficient conditions for them expressed in terms of the behaviour of the coefficients in the equation $Lu = \partial u/\partial t$ are given in the appendix.
Keywords
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