Lévy processes, integral equations, statistical physics. Connections and interactions

DOI10.1007/978-3-0348-0356-4MaRDI QIDQ411316zbMATH OpenOpenAlexFDO

Authors Lev A. Sakhnovich

Publication date 4 April 2012

Published in Operator Theory: Advances and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-0348-0356-4

zbMATH Keywords

entropypredictionHilbert spaceoptimal filteringpositive operatorsrandom matricesBoltzmann equationsintegral operatorsRiemann-Hilbert problemstatistical mechanicsdiscrete systemsalgorithmic information theorydual string equationsgeneralized stationary processespositive non-factorable operatorsLévy processesBézoutian

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Random integral equations (45R05) Stochastic integral equations (60H20) Research exposition (monographs, survey articles) pertaining to integral equations (45-02)

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Cited in

(5)

• Discrete self-adjoint Dirac systems: asymptotic relations, Weyl functions and Toeplitz matrices
• Integral equations in the theory of Levy processes
• Lévy path integrals of particle on circle and some applications
• Calibration of Lévy processes using optimal control of Kolmogorov equations with periodic boundary conditions
• Capacitary moduli for Lévy processes and intersections.

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