Chernoff approximation for semigroups generated by killed Feller processes and Feynman formulae for time-fractional Fokker-Planck-Kolmogorov equations
From MaRDI portal
Publication:2328560
Abstract: Semigroups, generated by Feller processes killed upon leaving a given domain, are considered. These semigroups correspond to Cauchy-Dirichlet type initial-exterior value problems in this domain for a class of evolution equations with (possibly non-local) operators. The considered semigroups are approximated by means of the Chernoff theorem. For a class of killed Feller processes, the constructed Chernoff approximation converts into a Feynman formula, i.e. into a limit of -fold iterated integrals of certain functions as . Representations of solutions of evolution equations by Feynman formulae can be used for direct calculations and simulation of underlying stochasstic processes. Further, a method to approximate solutions of time-fractional (including distributed order time-fractional) evolution equations is suggested. This method is based on connections between time-fractional and time-non-fractional evolution equations as well as on Chernoff approximations for the latter ones. Moreover, this method leads to Feynman formulae for solutions of time-fractional evolution equations. To illustrate the method, a class of distributed order time-fractional diffusion equations is considered; Feynman formulae for solutions of the corresponding Cauchy and Cauchy-Dirichlet problems are obtained.
Recommendations
Cites work
- Analytic semigroups and optimal regularity in parabolic problems
- APPROXIMATION OF FELLER PROCESSES BY MARKOV CHAINS WITH LÉVY INCREMENTS
- Asymptotic properties of Brownian motion delayed by inverse subordinators
- Beyond the triangle. Brownian motion, Ito calculus, and Fokker-Planck equation: fractional generalizations
- Brownian subordinators and fractional Cauchy problems
- Cauchy and nonlocal multi-point problems for distributed order pseudo-differential equations. I
- Censored stable processes
- Chaos, fractional kinetics, and anomalous transport
- Chernoff approximation of subordinate semigroups
- Continuous time random walk models associated with distributed order diffusion equations
- Description of quantum and classical dynamics via Feynman formulae
- Distributed order calculus and equations of ultraslow diffusion
- Distributed-order fractional diffusions on bounded domains
- Dynamics of a quantum particle with discontinuous position-dependent mass
- Expected Number of Distinct Sites Visited by a Random Walk with an Infinite Variance
- Explicit solutions to fractional differential equations via generalized gamma convolution
- Feynman and Feynman-Kac formulas for evolution equations with Vladimirov operator
- Feynman description of the one-dimensional dynamics of particles whose masses piecewise continuously depend on coordinates
- Feynman formula for a class of second-order parabolic equations in a bounded domain
- Feynman formula for Schrödinger-type equations with time- and space-dependent coefficients
- Feynman formulae and phase space Feynman path integrals for tau-quantization of some Lévy-Khintchine type Hamilton functions
- Feynman formulae for Feller semigroups
- Feynman formulas and functional integrals for diffusion with drift in a domain on a manifold
- Feynman formulas and path integrals for evolution equations with the Vladimirov operator
- Feynman formulas and path integrals for some evolution semigroups related to -quantization
- Feynman formulas as a method of averaging random Hamiltonians
- Feynman formulas for second-order parabolic equations with variable coefficients
- Feynman formulas for solutions of the Schrödinger equation on compact Riemannian manifolds
- Feynman formulas for stochastic and quantum dynamics of particles in multidimensional domains
- Feynman formulas generated by self-adjoint extensions of the Laplacian
- Feynman-Kac and Feynman formulas for infinite-dimensional equations with Vladimirov operator
- Fokker-Planck-Kolmogorov equations associated with time-changed fractional Brownian motion
- Fractional diffusion equations and processes with randomly varying time
- Fractional diffusions with time-varying coefficients
- Fractional Fokker-Planck-Kolmogorov equations associated with SDEs on a bounded domain
- Fractional Fokker-Planck-Kolmogorov type equations and their associated stochastic differential equations
- Fractional kinetic equations: solutions and applications
- Function integrals corresponding to a solution of the Cauchy-Dirichlet problem for the heat equation in a domain of a Riemannian manifold
- Functional integrals over Smolyanov surface measures for evolutionary equations on a Riemannian manifold
- Generalized Wiener-Segal-Fock representations and Feynman formulae
- Hamiltonian Feynman formulas for equations containing the vladimirov operator with variable coefficients
- Hamiltonian Feynman integrals for equations with the Vladimirov operator
- Hamiltonian Feynman-Kac and Feynman formulae for dynamics of particles with position-dependent mass
- scientific article; zbMATH DE number 438987 (Why is no real title available?)
- scientific article; zbMATH DE number 439383 (Why is no real title available?)
- scientific article; zbMATH DE number 3886840 (Why is no real title available?)
- scientific article; zbMATH DE number 493192 (Why is no real title available?)
- scientific article; zbMATH DE number 707209 (Why is no real title available?)
- scientific article; zbMATH DE number 2015741 (Why is no real title available?)
- scientific article; zbMATH DE number 1412981 (Why is no real title available?)
- Intrinsic ultracontractivity and conditional gauge for symmetric stable processes
- Introduction to fractional and pseudo-differential equations with singular symbols
- Inverse stable subordinators
- LAGRANGIAN AND HAMILTONIAN FEYNMAN FORMULAE FOR SOME FELLER SEMIGROUPS AND THEIR PERTURBATIONS
- Lagrangian Feynman formulas for second-order parabolic equations in bounded and unbounded domains
- Large solutions for a class of semilinear integro-differential equations with censored jumps
- Limit theorems for continuous-time random walks with infinite mean waiting times
- Lévy matters III. Lévy-type processes: construction, approximation and sample path properties
- Note on product formulas for operator semigroups
- On multi-dimensional random walk models approximating symmetric space-fractional diffusion processes
- On numerical density approximations of solutions of SDEs with unbounded coefficients
- On the Dirichlet problem for pseudodifferential operators generating Feller semigroups
- Parabolic equations and Feynman-Kac formula on general bounded domains
- Probabilistic representation of fundamental solutions to \(\frac{\partial u}{\partial t} = \kappa _m \frac{\partial^m u}{\partial x^m}\)
- Product formulas, nonlinear semigroups, and addition of unbounded operators
- Pseudo differential operators and Markov processes. In 3 vol. Vol. 1: Fourier analysis and semigroups
- Quasi-Feynman formulas -- a method of obtaining the evolution operator for the Schrödinger equation
- Randomized Hamiltonian Feynman integrals and Schrödinger-Itô stochastic equations
- Reflected spectrally negative stable processes and their governing equations
- Representations of solutions of Lindblad equations by randomized Feynman formulas
- Representations of the solution of the Cauchy-Dirichlet problem for the heat equation in a domain of a compact Riemannian manifold by functional integrals
- SDEs driven by a time-changed Lévy process and their associated time-fractional order pseudo-differential equations
- Semigroups of linear operators and applications to partial differential equations
- Smooth contractive embeddings and application to Feynman formula for parabolic equations on smooth bounded domains
- Solution of a Cauchy problem for a diffusion equation in a Hilbert space by a Feynman formula
- Space-time fractional diffusion on bounded domains
- Space-time fractional Dirichlet problems
- Stochastic model for ultraslow diffusion
- Stochastic models for fractional calculus
- Strong analytic solutions of fractional Cauchy problems
- Surface measures and initial boundary value problems generated by diffusions with drift
- The Dirichlet problem for nonlocal operators
- The Euler scheme for Feller processes
- The Feynman formula for the Cauchy problem in domains with boundary
- The Feynman formulas for solving infinite-dimensional Schrödinger equations with polynomial potentials
- The Proof of the Feynman–Kac Formula for Heat Equation on a Compact Riemannian Manifold
- The random walk's guide to anomalous diffusion: A fractional dynamics approach
- The restaurant at the end of the random walk: recent developments in the description of anomalous transport by fractional dynamics
- Time-fractional diffusion of distributed order
- Time-fractional telegraph equations and telegraph processes with Brownian time
- Triangular array limits for continuous time random walks
- Unbounded random operators and Feynman formulae
Cited in
(6)- Exact asymptotic formulas for the heat kernels of space and time-fractional equations
- Time-changed fractional Ornstein-Uhlenbeck process
- Chernoff approximations for nonstationary random walk modeling
- The method of Chernoff approximation
- Chernoff approximations of Feller semigroups in Riemannian manifolds
- Feynman formulae for Feller semigroups
This page was built for publication: Chernoff approximation for semigroups generated by killed Feller processes and Feynman formulae for time-fractional Fokker-Planck-Kolmogorov equations
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2328560)
