On the Reconstruction of the Drift of a Diffusion from Transition Probabilities Which Are Partially Observed in Space
نویسنده
چکیده
The problem of reconstructing the drift of a diffusion in R, d ≥ 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 [2] 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.
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