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

Abstract

Based on the Feynman-Kac formula, we develop a new approach to show the global existence and uniqueness of the solutions for the forward and backward time-dependent multidimensional nonlocal Fokker-Planck equations, which are associated with a class of time-dependent stochastic differential equations driven by symmetric (or asymmetric) non-Gaussian Lévy process. First, after deriving the forward time-dependent multidimensional nonlocal Fokker-Planck equation, the Feynman-Kac formula for the forward nonlocal Fokker-Planck equation is established by using Itô's formula and techniques for the backward nonlocal Fokker-Planck equation corresponding to the backward stochastic differential equation driven by Lévy process. Then, from the Feynman-Kac formula, we prove the global existence and uniqueness of the solutions for the forward and backward time-dependent multidimensional nonlocal Fokker-Planck equations by using techniques from stochastic analysis. Finally, the dynamic evolution of the probability density function corresponding to the stochastic model for the MeKS network (reflecting the interactions among the MecA complex, comK, comS) is investigated over an extended period by Feynman-Kac formula and Monte Carlo simulations. In particular, we reveal the influence of symmetric and asymmetric stable noises as well as tempered stable noise on the probability density function corresponding to the stochastic MeKS network model.