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Using the Chapman-Kolmogorov equation of random walks
to identify drift and diffusion of the Fokker-Planck equation
Mario Annunziato, Alfio Borzì
Pages - 1 - 13 | Revised - 15-10-2025 | Published - 31-10-2025
MORE INFORMATION
KEYWORDS
Reconstruction of diffusion and drift coefficients, Random Walk, Fokker- Planck equation, Calibration.
ABSTRACT
A novel approach for the reconstruction of the drift and diffusion coefficients of the Fokker-Planck
equation is presented. This approach is based on the Chapman-Kolmogorov equation of the inhomogeneous
random walk related to the Fokker-Planck equation. Two numerical algorithms are
formulated for the reconstruction problem. Results of numerical experiments demonstrate the ability
of the proposed methods to solve this inverse problem also in the case of discontinuous coefficients.
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Mr. Mario Annunziato
Dipartimento di Fisica “E. R. Caianiello”, Università degli Studi di Salerno, Via G. Paolo II 132, Fisciano, 84084 - Italy
mannunzi@unisa.it
Mr. Alfio Borzì
Institut für Mathematik, Universität Würzburg, Emil-Fischer-Strasse 30, Würzburg, 97074 - Germany
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