Parabolic partial differential equations | Stochastic differential equations

Kolmogorov backward equations (diffusion)

The Kolmogorov backward equation (KBE) (diffusion) and its adjoint sometimes known as the Kolmogorov forward equation (diffusion) are partial differential equations (PDE) that arise in the theory of continuous-time continuous-state Markov processes. Both were published by Andrey Kolmogorov in 1931. Later it was realized that the forward equation was already known to physicists under the name Fokker–Planck equation; the KBE on the other hand was new. Informally, the Kolmogorov forward equation addresses the following problem. We have information about the state x of the system at time t (namely a probability distribution ); we want to know the probability distribution of the state at a later time . The adjective 'forward' refers to the fact that serves as the initial condition and the PDE is integrated forward in time (in the common case where the initial state is known exactly, is a Dirac delta function centered on the known initial state). The Kolmogorov backward equation on the other hand is useful when we are interested at time t in whether at a future time s the system will be in a given subset of states B, sometimes called the target set. The target is described by a given function which is equal to 1 if state x is in the target set at time s, and zero otherwise. In other words, , the indicator function for the set B. We want to know for every state x at time what is the probability of ending up in the target set at time s (sometimes called the hit probability). In this case serves as the final condition of the PDE, which is integrated backward in time, from s to t. (Wikipedia).

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From playlist Partial Differential Equations

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From playlist Differential Equations for Engineers

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From playlist Reaction-diffusion equations

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From playlist Differential Equations for Engineers

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From playlist Differential Equations for Engineers

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From playlist Summer Research Program on Dynamics of Complex Systems

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From playlist Reaction-diffusion equations

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From playlist Partial Differential Equations

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From playlist Workshop: Probabilistic and variational methods in kinetic theory

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From playlist Turbulence from Angstroms to light years

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A reaction-diffusion equation based on the Rock-Paper-Scissors automaton

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From playlist Reaction-diffusion equations

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From playlist Probability and Statistics

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From playlist Summer Research Program on Dynamics of Complex Systems

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From playlist Machine Learning for Physics and the Physics of Learning 2019

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From playlist Partial differential equations

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Feynman–Kac formula | Fokker–Planck equation | Kolmogorov equations | Dirac delta function | Andrey Kolmogorov | Probability distribution | Stochastic differential equation | Partial differential equation