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This article is cited in 2 scientific papers (total in 2 papers)
An analogue of the Feynman–Kac formula for a high-order operator
M. V. Platonovaab a St. Petersburg Department of Steklov Mathematical Institute of Russian Academy of Sciences
b Chebyshev Laboratory, St. Petersburg State University, Department of Mathematics and Mechanics
Abstract:
In this paper, we construct a probabilistic approximation of the evolution
operator
$\exp\bigl(t\bigl({\frac{(-1)^{m+1}}{(2m)!}\,\frac{d^{2m}}{dx^{2m}}+V}\bigr)\bigr)$
in the form of expectations of functionals of a point random field. This
approximation can be considered as a generalization of the Feynman–Kac
formula to the case of a differential equation of order $2m$.
Keywords:
evolution equations, Poisson random measures, Feynman–Kac formula.
Received: 12.07.2020 Accepted: 12.10.2020
Citation:
M. V. Platonova, “An analogue of the Feynman–Kac formula for a high-order operator”, Teor. Veroyatnost. i Primenen., 67:1 (2022), 81–99; Theory Probab. Appl., 67:1 (2022), 62–76
Linking options:
https://www.mathnet.ru/eng/tvp5425https://doi.org/10.4213/tvp5425 https://www.mathnet.ru/eng/tvp/v67/i1/p81
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