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Matematicheskoe modelirovanie, 2020, Volume 32, Number 1, Pages 111–128
DOI: https://doi.org/10.20948/mm-2020-01-08
(Mi mm4151)
 

Modeling evolution sample distributions of random quantities by the equation of Liuville

A. A. Kislitsin, Yu. N. Orlov

Keldysh Institite of Applied Mathematics RAS
References:
Abstract: The difference approximation of the one-dimensional Liouville equation for the sample distribution density of the non-stationary time series estimated by the histogram is considered. We prove a necessary and sufficient condition that the change in the sample density of the distribution over a certain period of time can be modeled as the evolution of the density according to the Liouville equation. This condition is a strong positivity of the initial density distribution in the inner class intervals. The determination of the corresponding velocity algorithm is constructed and its mechanical-statistical meaning is shown as a semigroup equivalent in Chernoff sense to the average semigroup, generating the evolution of the distribution function.
Keywords: Liouville equation, non-stationary time series, sample distribution function, Chernoff equivalence.
Received: 24.06.2019
Revised: 24.06.2019
Accepted: 09.09.2019
English version:
Mathematical Models and Computer Simulations, 2020, Volume 12, Issue 5, Pages 747–756
DOI: https://doi.org/10.1134/S2070048220050087
Document Type: Article
Language: Russian
Citation: A. A. Kislitsin, Yu. N. Orlov, “Modeling evolution sample distributions of random quantities by the equation of Liuville”, Mat. Model., 32:1 (2020), 111–128; Math. Models Comput. Simul., 12:5 (2020), 747–756
Citation in format AMSBIB
\Bibitem{KisOrl20}
\by A.~A.~Kislitsin, Yu.~N.~Orlov
\paper Modeling evolution sample distributions of random quantities by the equation of Liuville
\jour Mat. Model.
\yr 2020
\vol 32
\issue 1
\pages 111--128
\mathnet{http://mi.mathnet.ru/mm4151}
\crossref{https://doi.org/10.20948/mm-2020-01-08}
\transl
\jour Math. Models Comput. Simul.
\yr 2020
\vol 12
\issue 5
\pages 747--756
\crossref{https://doi.org/10.1134/S2070048220050087}
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