High order heat-type equations and random walks on the complex plane (Q2512857): Difference between revisions
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English | High order heat-type equations and random walks on the complex plane |
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High order heat-type equations and random walks on the complex plane (English)
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30 January 2015
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Stochastic processes related to elliptic operators have been the subject of many articles over the years. In particular, the Feynman-Kac formula provides a useful method for solving the Schrödinger equation with imaginary time and arbitrary potential. This formula uses the standard measure of the Wiener process. The present article replaces the Laplacian by a higher order differential operator, i.e., the \(M\)th power of the Laplacian. Unlike the case where \(M=1\), for \(M>1\) the fundamental solution \(G_t(x,y)\) for \(t>0\) is no longer positive, but has an oscillatory behavior. Therefore, it cannot be interpreted as the density of a probability measure. In other words, there is no stochastic process \(X_t\) for such a model similar to the Wiener process for \(M=1\). Hence, an analogue of the Feynman-Kac formula cannot be found that uses a Lebesgue-type integral, and so a more general probabilistic formula is needed and constructed here in terms of random walks in the complex plane using a scaling limit.
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Feynman-Kac formula
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Schrödinger equation
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imaginary time
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Wiener process
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higher powers of the Laplacian
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random walks
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