##  [Kolmogorov Backward Equation](/kolmogorov-backward-equation) 

  ##  [Kolmogorov Backward Equation](https://natural.quantumdictionary.io/kolmogorov-backward-equation-0) 

  

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**Natural & Formal Sciences Dictionary**

 







 

 

 

 



 

 

 

 

Definition

A partial differential (or integro-differential) equation satisfied by the backward evolution of expected observables for a Markov process: ∂_t u(t,x) = −L u(t,x) with terminal condition u(T,x)=φ(x), where L is the generator acting on the spatial variable.