Invariant measure for a class of parabolic degenerate equations |
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Authors: | Giuseppe Da Prato Hélène Frankowska |
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Affiliation: | (1) Scuola Normale Superiore di Pisa, Pisa, Italy;(2) CREA, CNRS and Ecole Polytechnique, Paris, France |
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Abstract: | In this paper we consider a stochastic flow in Rn which leaves a closed convex set K invariant. By using a recent characterization of the invariance, involving the distance function, we study the corresponding transition semigroup Pt and its infinitesimal generator N. Due to the invariance property, N is a degenerate elliptic operator. We study existence of an invariant measure ν of Pt and the realization of N in L2 (H, ν). |
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Keywords: | 60H10 47D07 35K65 37L40 |
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