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Zapiski Nauchnykh Seminarov POMI, 2014, Volume 431, Pages 242–252
(Mi znsl6105)
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On the approximation of the solutions of some evolution equations by the expectations of functionals of random walks
S. V. Tsykin St. Petersburg State University, St. Petersburg, Russia
Abstract:
We consider some problems associated with a probabilistic representation and a probabilistic approximation of the Cauchy problem solution for the family of equations $\frac{\partial u}{\partial t}=\frac{\sigma^2}2\Delta u$ with a complex parameter $\sigma$ such that $\operatorname{Re}\sigma^2\geqslant0$. This equation coincides with the heat equation when $\operatorname{Im}\sigma=0$ and with the Schrödinger equation when $\operatorname{Re}\sigma^2=0$.
Key words and phrases:
limit theorem, Schrödinger equation, Feynman measure, random walk, evolution equation.
Received: 20.10.2014
Citation:
S. V. Tsykin, “On the approximation of the solutions of some evolution equations by the expectations of functionals of random walks”, Probability and statistics. Part 21, Zap. Nauchn. Sem. POMI, 431, POMI, St. Petersburg, 2014, 242–252; J. Math. Sci. (N. Y.), 214:4 (2016), 584–591
Linking options:
https://www.mathnet.ru/eng/znsl6105 https://www.mathnet.ru/eng/znsl/v431/p242
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Abstract page: | 235 | Full-text PDF : | 72 | References: | 53 |
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