Inversions of stochastic processes from their ergodic measures of nonlinear SDEs

Abstract We introduce and analyze a novel class of inverse problems for stochastic dynamics: Given the ergodic invariant measure of a stochastic process governed by a nonlinear stochastic ordinary or partial differential equation (SODE or SPDE), we investigate the unique identifiability of the underlying process–specifically, the recovery of its drift and diffusion terms. This stands in contrast to the classical problem of statistical inference from trajectory data. We establish unique identifiability results under several key scenarios, including cases with both multiplicative and additive noise, for both finite- and infinite-dimensional systems. Our analysis leverages the intrinsic structure of the governing equations and their quantitative relationship with the ergodic measure, thereby transforming the identifiability problem into a uniqueness issue for the solutions to the associated stationary Fokker–Planck equations. This approach reveals fundamental differences between drift and diffusion inversion problems and provides counterexamples where unique recovery fails. This work lays the theoretical foundation for a new research direction with significant practical potential.