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

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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https://hal.archives-ouvertes.fr/hal-02902615
Contributor : Francesco Russo Connect in order to contact the contributor
Submitted on : Monday, September 27, 2021 - 10:34:22 AM
Last modification on : Friday, December 3, 2021 - 11:34:09 AM

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  • HAL Id : hal-02902615, version 3
  • ARXIV : 2007.10628

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Lucas Izydorczyk, Nadia Oudjane, Francesco Russo, Gianmario Tessitore. Fokker-Planck equations with terminal condition and related McKean probabilistic representation. 2021. ⟨hal-02902615v3⟩

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