Integral identity and measure estimates for stationary Fokker-Planck equations

Abstract

We consider a Fokker-Planck equation in a general domain in ${\mathbb{R}}^n$ with $L^p_{\mathrm{loc}}$ drift term and $W^{1,p}_{\mathrm{loc}}$ diffusion term for any $p>n$. By deriving an integral identity, we give several measure estimates of regular stationary measures in an exterior domain with respect to diffusion and Lyapunov-like or anti-Lyapunov-like functions. These estimates will be useful to problems such as the existence and nonexistence of stationary measures in a general domain as well as the concentration and limit behaviors of stationary measures as diffusion vanishes.

Published at http://dx.doi.org/10.1214/14-AOP917 in the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org)