Fokker-Planck equations with terminal condition and related McKean probabilistic representation
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Publication:2065600
Abstract: Usually Fokker-Planck type partial differential equations (PDEs) are well-posed if the initial condition is specified. In this paper, alternatively, we consider the inverse problem which consists in prescribing final data: in particular we give sufficient conditions for existence and uniqueness. In the second part of the paper we provide a probabilistic representation of those PDEs in the form a solution of a McKean type equation corresponding to the time-reversal dynamics of a diffusion process.
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Cited in
(5)- McKean Feynman-Kac probabilistic representations of non-linear partial differential equations
- Statistical deconvolution of the free Fokker-Planck equation at fixed time
- Inverse problems in Fokker Planck equations
- Time Reversal of diffusion processes under a finite entropy condition
- On nonlinear Markov processes in the sense of McKean
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