Existence and uniqueness of solutions for forward and backward nonlocal Fokker-Planck equations with time-dependent coefficients

DOI10.1016/j.jde.2024.04.037zbMATH Open1543.35242MaRDI QIDQ6559408

Yejuan Wang, Xiaoying Han, Peter E. Kloeden, Qingyan Meng

Publication date: 21 June 2024

Published in: Journal of Differential Equations (Search for Journal in Brave)

probability density function existence and uniqueness Feynman-Kac formula stochastic representation numerical simulations Itô's formula non-Gaussian Lévy noise nonlocal Fokker-Planck equations

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Monte Carlo methods (65C05) Smoothness and regularity of solutions to PDEs (35B65) Applications of stochastic analysis (to PDEs, etc.) (60H30) Existence problems for PDEs: global existence, local existence, non-existence (35A01) PDEs with randomness, stochastic partial differential equations (35R60) Methods of ordinary differential equations applied to PDEs (35A24) Uniqueness problems for PDEs: global uniqueness, local uniqueness, non-uniqueness (35A02) Fokker-Planck equations (35Q84)

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