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On exact solutions to the Kolmogorov–Feller equation

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Abstract

The integrodifferential Kolmogorov–Feller equation describing the stochastic dynamics of a system subjected to a regular “force” and a random external disturbance in the form of short pulses with random “amplitudes” and occurrence times is considered. The equation is written in differential form. A method for finding the regular force from a given stationary probability distribution is described. The method is illustrated by examples.

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Correspondence to O. V. Rudenko.

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Original Russian Text © O.V. Rudenko, A.A. Dubkov, S.N. Gurbatov, 2016, published in Doklady Akademii Nauk, 2016, Vol. 469, No. 4, pp. 414–418.

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Rudenko, O.V., Dubkov, A.A. & Gurbatov, S.N. On exact solutions to the Kolmogorov–Feller equation. Dokl. Math. 94, 476–479 (2016). https://doi.org/10.1134/S1064562416040219

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  • DOI: https://doi.org/10.1134/S1064562416040219

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