Abstract
In this chapter, we deal with linear evolution families of operators acting on spaces of functions and measures defined on a manifold, which are generated by solutions of stochastic differential equations, studied in the previous chapter. We derive both backward and forward Kolmogorov equations and study the Cauchy problem for them.
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© 1990 Kluwer Academic Publishers
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Belopolskaya, Y.I., Dalecky, Y.L. (1990). Kolmogorov Equations. In: Stochastic Equations and Differential Geometry. Mathematics and Its Applications, vol 30. Springer, Dordrecht. https://doi.org/10.1007/978-94-009-2215-0_5
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DOI: https://doi.org/10.1007/978-94-009-2215-0_5
Publisher Name: Springer, Dordrecht
Print ISBN: 978-94-010-7493-3
Online ISBN: 978-94-009-2215-0
eBook Packages: Springer Book Archive