How to find the inverse of an integral transform?

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SUMMARY

The discussion focuses on finding the inverse of an integral transform involving a non-differentiable kernel function ##V(t', t)##, which exhibits discontinuities and constant behavior beyond a certain point. The integral equation is defined as $$ \int_{t_1}^{t_2} V(t', t) f(t) \, dt = K $$ for all ##t'## in the interval ##[t_1, t_2]##. Participants are seeking methods or numerical techniques to tackle the challenges posed by the kernel's complexity, particularly its resemblance to Brownian motion for ##t < t'##.

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  • Understanding of integral transforms and their properties
  • Familiarity with random variables and their distributions
  • Knowledge of numerical methods for solving integral equations
  • Basic concepts of stochastic processes, particularly Brownian motion
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  • Research techniques for inverting integral transforms with discontinuous kernels
  • Explore numerical methods such as the Galerkin method for integral equations
  • Study the properties of Brownian motion and its applications in stochastic modeling
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Mathematicians, statisticians, and researchers in applied mathematics or physics who are dealing with complex integral transforms and stochastic processes.

hyurnat4
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I'm trying to find the distribution of a random variable ##T## supported on ##[t_1, t_2]## subject to ## \mathbb{E}[V(t', T)] = K, \forall t' \in [t_1, t_2]##. In integral form, this is : $$ \int_{t_1}^{t_2} V(t', t).f(t) \, dt = K,\forall t' \in [t_1, t_2], $$ which is just an exotic integral transform.

So if I can find the inverse transform, I'm done. But the function ##V## is ...not nice. It's nowhere differentiable for ##t < t'##, there's a jump at ##t = t'## and it's constant from then on.

So do you guys know of any methods to find the inverse to an integral transform with a nasty kernel like ##V##? Or can you see another way to solve these equations? I'd even be happy with numerical techniques.

Thanks in advance.
 
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##V(t^\prime,t)## is similar to Brownian motion for ##t<t^\prime##?
 

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