On the reconstruction of diffusions from first-exit time distributions

DOI10.1088/0266-5611/20/4/004MaRDI QIDQ4832303zbMATH OpenOpenAlexFDO

Authors Guillaume Bal, Tom Chou

Publication date 4 January 2005

Published in Inverse Problems (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/cond-mat/0310681

zbMATH Keywords

drift and diffusion functionalspotential of the Schrödinger equationstochastic differential equationsSturm-Liouville problem

Mathematics Subject Classification ID

Inverse problems for PDEs (35R30) PDEs with randomness, stochastic partial differential equations (35R60) Diffusion processes (60J60)

Abstract: This paper explores the reconstruction of drift or diffusion coefficients of a scalar stochastic diffusion processes as it starts from an initial value and reaches, for the first time, a threshold value. We show that the distribution function derived from repeated measurements of the first-exit times can be used to formally partially reconstruct the dynamics of the process. Upon mapping the relevant stochastic differential equations (SDE) to the associated Sturm-Liouville problem, results from Gelfand and Levitan cite{GelLev-51} can be used to reconstruct the potential of the Schr"{o}dinger equation, which is related to the drift and diffusion functionals of the SDE. We show that either the drift or the diffusion term of the stochastic equation can be uniquely reconstructed, but only if both the drift and diffusion are known in at least half of the domain. No other information can be uniquely reconstructed unless additional measurements are provided. Applications and implementations of our results are discussed.

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• Inverse Problems for Discrete Heat Equations and Random Walks for a Class of Graphs
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• Exploring the state of a stochastic system via stochastic simulations: an interesting inversion problem and the health state function
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