Chernoff approximations for nonstationary random walk modeling

DOI10.1134/S1995080219120102MaRDI QIDQ2206987zbMATH OpenOpenAlexFDO

Authors Yu. N. Orlov, A. A. Kislitsyn

Publication date 27 October 2020

Published in Lobachevskii Journal of Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1134/s1995080219120102

zbMATH Keywords

Chernoff equivalencedynamical systemempirical kinetic equationstochastic motion

Mathematics Subject Classification ID

Dynamical aspects of statistical mechanics (37A60) Time series analysis of dynamical systems (37M10) Anomalous diffusion models (subdiffusion, superdiffusion, continuous-time random walks, etc.) (60K50) Random walks, random surfaces, lattice animals, etc. in equilibrium statistical mechanics (82B41) Dynamics of random walks, random surfaces, lattice animals, etc. in time-dependent statistical mechanics (82C41)

Recommendations

• The method of Chernoff approximation
• Kinetic equation for simulation of non-stationary non-equidistant time-series
• Chernoff approximation for semigroups generated by killed Feller processes and Feynman formulae for time-fractional Fokker-Planck-Kolmogorov equations
• scientific article; zbMATH DE number 1996166
• Chernoff's theorem on one-parametric semigroups

Cites work

• Asymptotically Pearson Transformations
• Chernoff's theorem and discrete time approximations of Brownian motion on manifolds
• Feynman formulas as a method of averaging random Hamiltonians
• Forecasting sales by exponentially weighted moving averages
• scientific article; zbMATH DE number 3008134 (Why is no real title available?)
• scientific article; zbMATH DE number 768016 (Why is no real title available?)
• scientific article; zbMATH DE number 3421754 (Why is no real title available?)
• Note on product formulas for operator semigroups

Cited in

(2)

• Non parametric estimation for random walks in random environment
• Kinetic equation for simulation of non-stationary non-equidistant time-series

This page was built for publication: Chernoff approximations for nonstationary random walk modeling

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2206987)