We adapt the Levi’s parametrix method to prove existence, estimates and qualitative properties of a global fundamental solution to ultraparabolic partial differential equations of Kolmogorov type. Existence and uniqueness results for the Cauchy problem are also proved.

We analyze a class of partial differential equations that arise as"backwards Kolmogorov operators"in infinite population limits of the Wright-Fisher models in population genetics and in mathematical finance. These are degenerate elliptic operators defined on manifolds with corners. The classical example is the Kimura diffusion operator, which acts on functions defined on the simplex in R^n. We ...

We consider the fractional generalizations of equation that defines the medium mass. We prove that the fractional integrals can be used to describe the media with noninteger mass dimensions. Using fractional integrals, we derive the fractional generalization of the Chapman-Kolmogorov equation (Smolukhovski equation). In this paper fractional Fokker-Planck equation for fractal media is derived f...

To avoid finding the stationary distributions of stochastic differential equations by solving the nontrivial Kolmogorov-Fokker-Planck equations, the numerical stationary distributions are used as the approximations instead. This paper is devoted to approximate the stationary distribution of the underlying equation by the Backward Euler-Maruyama method. Currently existing results [21, 31, 33] ar...