The Cauchy problem for the Fokker–Plank–Kolmogorov equation with a nonlocal nonlinear drift term is reduced to a similar problem for the correspondent linear equation. The relation between symmetry operators of the linear and nonlinear Fokker–Plank– Kolmogorov equations is considered. Illustrative examples of the one-dimensional symmetry operators are presented.

Recent results about linear partial differential equations of Kolmogorov type are reviewed. They are examined in the context of financial mathematics: specifically, applications to arbitrage valuation, model calibration and estimation of stochastic processes are discussed.

We investigate chaos synchronization of small-scale motions in the three-dimensional turbulent energy cascade, via pseudospectral simulations of the incompressible Navier-Stokes equations. The modes of the turbulent velocity field below about 20 Kolmogorov dissipation lengths are found to be slaved to the chaotic dynamics of larger-scale modes. The dynamics of all dissipation-range modes can be...

It is known that if a stochastic process is a solution to a classical Itô stochastic differential equation (SDE), then its transition probabilities satisfy in the weak sense the associated Cauchy problem for the forward Kolmogorov equation. The forward Kolmogorov equation is a parabolic partial differential equation with coefficients determined by the corresponding SDE. Stochastic processes whi...

We provide the explicit solutions of linear, left-invariant, diffusion equations and the corresponding resolvent equations on the 2D-Euclidean motion group SE(2) = R T. These parabolic equations are forward Kolmogorov equations for well-known stochastic processes for contour enhancement and contour completion. The solutions are given by group convolution with the corresponding Green’s functions...

We provide the explicit solutions of linear, left-invariant, diffusion equations and the corresponding resolvent equations on the 2D-Euclidean motion group SE(2) = R T. These parabolic equations are forward Kolmogorov equations for well-known stochastic processes for contour enhancement and contour completion. The solutions are given by group convolution with the corresponding Green’s functions...