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On the reconstruction of the drift of a diffusion from transition probabilities which are partially observed in space | | Sergio Albeverio
; Carlo Marinelli
; | | Date: |
31 Oct 2004 | | Subject: | Probability; Statistics MSC-class: Primary 62M99, 60J60; Secondary 60J35, 35R30, 44A12 | math.PR math.ST | | Abstract: | The problem of reconstructing the drift of a diffusion in $erre^d$, $dgeq 2$, from the transition probability density observed outside a domain is considered. The solution of this problem also solves a new inverse problem for a class of parabolic partial differential equations. This work considerably extends cite{jsp} in terms of generality, both concerning assumptions on the drift coefficient, and allowing for non-constant diffusion coefficient. Sufficient conditions for solvability of this type of inverse problem for $d=1$ are also given. | | Source: | arXiv, math.PR/0411008 | | Services: | Forum | Review | PDF | Favorites | |
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