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Teoreticheskaya i Matematicheskaya Fizika, 2024, Volume 218, Number 2, Pages 238–257
DOI: https://doi.org/10.4213/tmf10548
(Mi tmf10548)
 

Unitary representation of walks along random vector fields and the Kolmogorov–Fokker–Planck equation in a Hilbert space

V. M. Busovikovab, Yu. N. Orlovc, V. Zh. Sakbaevc

a Phystech School of Applied Mathematics and Informatics, Moscow Institute of Physics and Technology (National Research University), Dolgoprudny, Moscow Region, Russia
b Steklov Mathematical Institute of Russian Academy of Sciences, Moscow, Russia
c Keldysh Institute of Applied Mathematics, Russian Academy of Sciences, Moscow, Russia
References:
Abstract: Random Hamiltonian flows in an infinite-dimensional phase space is represented by random unitary groups in a Hilbert space. For this, the phase space is equipped with a measure that is invariant under a group of symplectomorphisms. The obtained representation of random flows allows applying the Chernoff averaging technique to random processes with values in the group of nonlinear operators. The properties of random unitary groups and the limit distribution for their compositions are described.
Keywords: random operator, random Hamiltonian flow, invariant measure, A. Weil theorem, Gaussian random walk, Laplace–Volterra operator, Sobolev space, Kolmogorov–Fokker–Planck equation.
Funding agency Grant number
Russian Science Foundation 19-11-00320
This work was supported by the Russian Science Foundation under grant No. 19-11-00320, https://rscf.ru/en/project/19-11-00320.
Received: 30.05.2023
Revised: 28.06.2023
English version:
Theoretical and Mathematical Physics, 2024, Volume 218, Issue 2, Pages 205–221
DOI: https://doi.org/10.1134/S004057792402003X
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: V. M. Busovikov, Yu. N. Orlov, V. Zh. Sakbaev, “Unitary representation of walks along random vector fields and the Kolmogorov–Fokker–Planck equation in a Hilbert space”, TMF, 218:2 (2024), 238–257; Theoret. and Math. Phys., 218:2 (2024), 205–221
Citation in format AMSBIB
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