Identification of the drift coeffic plank equation from the momer its stationary solution

Abstract

This paper is concerned with the problem of recovering the drift coefficient f of a Fokker- Plank diffusion equation from the knowledge of its stationary solution u_st. It can be regarded as a stochastic perturbation method for solving a class of inverse problems of dynamics. Since f is proportional to the logarithmic derivative of u,t, such a problem turns out to be severely ill-posed. A regularization method based on the moment discretization of _st is proposed

Keywords:

• identification problems for PDE
• numerical differentiation
• maximum entropy solutions of finite moment problems