Statistical deconvolution of the free Fokker-Planck equation at fixed time (Q2136995)

This paper is concerned with the reconstruction of the initial condition of a nonlinear partial differential equation, the so-called PDE or Fokker-Planck equation, from the observation of a Dyson Brownian motion at a given time $t>0$. Recall that the Fokker-Planck equation describes the evolution of electrostatic repulsive particle systems, its solution can be written as the free convolution of the initial condition and the semi-circular distribution. As a consequence of this, the authors are interested in estimating the initial condition of a nonlinear PDE from the observation of its solution at a specific point in time $t$. This is represented by the following equation: \[ \partial tp(t,x)=-\partial x\int R2Hp(t,x)p(t, x)dx \] Furthermore, a fundamental problem, according to the authors, letting the initial condition of a partial differential equation (PDE) be random, is its strong similarities with the heat equation, the well-known standard Brownian motion of the probabilistic interpretation. In this context, it is replaced by the free Brownian motion $(ht)t>0$, the operator-valued, and by a semi-circular distribution $\sigma t$ characterized by its density with respect to the Lebesgue measure. This problem was resolved introducing a nonparametric estimator for the initial condition obtained by performing the free deconvolution via the subordination functions method involving the resolution of a fixed point equation, and a classical deconvolution by a Cauchy distribution. $G\mu 0(7)=1t(wfp(z)-z)=G\mu t(wfp(z))$ (2) Consequently $|wfp(z-z|\leq\sqrt t$ (3) As a related result, they conducted an empirical simulation with the aim to assess the performance of their constructed statistical estimator based on a sample of $\delta n(t):=\delta n1(t),\dots, \delta nn(t)$ of non-ordered eigenvalues, or in other words, $n=400$ and $t=1$.