Kolmogorov Equations for Degenerate Ornstein–Uhlenbeck Operators

Abstract

We consider Kolmogorov operators with constant diffusion matrices and linear drifts, i.e., Ornstein–Uhlenbeck operators, and show that all solutions to the corresponding stationary Fokker–Planck–Kolmogorov equations (including signed solutions) are invariant measures for the generated semigroups. This also gives a relatively explicit description of all solutions.