Solvability of Kolmogorov-Fokker-Planck equations for vector jump processes and occupation time on hypersurfaces

N. G. Dokuchaev

International Journal of Mathematics and Mathematical Sciences, 2001, vol. 28, 1-16

Abstract:

We study occupation time on hypersurface for Markov n -dimensional jump processes. Solvability and uniqueness of integro-differential Kolmogorov-Fokker-Planck with generalized functions in coefficients are investigated. Then these results are used to show that the occupation time on hypersurfaces does exist for the jump processes as a limit in variance for a wide class of piecewise smooth hypersurfaces, including some fractal type and moving surfaces. An analog of the Meyer-Tanaka formula is presented.

Date: 2001
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jijmms:103023

DOI: 10.1155/S0161171201011760

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