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

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 نشر من قبل Francesco Russo
 تاريخ النشر 2020
  مجال البحث
والبحث باللغة English
 تأليف Lucas Izydorczyk




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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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