Kolmogorov backward equations (diffusion)

The Kolmogorov backward equation (KBE) and its adjoint, the Kolmogorov forward equation, are partial differential equations (PDE) that arise in the theory of continuous-time continuous-state Markov processes. Both were published by Andrey Kolmogorov in 1931.

Source: Wikipedia — Kolmogorov backward equations (diffusion) (CC BY-SA 4.0)