Fokker-Planck equations with terminal condition and related McKean probabilistic representation

DOI10.1007/s00030-021-00736-1zbMath1490.60168arXiv2007.10628OpenAlexW3043949698MaRDI QIDQ2065600

Lucas Izydorczyk, Francesco Russo, Gianmario Tessitore, Nadia Oudjane

Publication date: 12 January 2022

Published in: NoDEA. Nonlinear Differential Equations and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2007.10628

zbMATH Keywords

inverse problemFokker Planck equationMcKean stochastic differential equationprobabilistic representation of PDEstime-reversed diffusion

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Inverse problems for PDEs (35R30) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60)

Related Items

Time Reversal of diffusion processes under a finite entropy condition, McKean Feynman-Kac probabilistic representations of non-linear partial differential equations

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