Моделирование эволюции выборочных распределений случайных величин с помощью уравнения Лиувилля

DOI10.20948/mm-2020-01-08zbMath1445.60017OpenAlexW2999844103MaRDI QIDQ5112269

A. A. Kislitsyn, Yu. N. Orlov

Publication date: 29 May 2020

Published in: Математическое моделирование (Search for Journal in Brave)

Full work available at URL: http://mathnet.ru/eng/mm4151

zbMATH Keywords

Liouville equationnon-stationary time seriessample distribution functionChernoff equivalence

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probability distributions: general theory (60E05) Selfadjoint operator theory in quantum theory, including spectral analysis (81Q10) Diffusion processes and stochastic analysis on manifolds (58J65)

Cites Work

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• Feynman formulas as a method of averaging random Hamiltonians
• Chernoff's theorem and discrete time approximations of Brownian motion on manifolds
• Note on product formulas for operator semigroups

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