The method of Chernoff approximation

DOI10.1007/978-3-030-46079-2_2zbMATH Open1501.47063arXiv1905.07309OpenAlexW2945343033MaRDI QIDQ5115923FDOQ5115923

Yana Kinderknecht

Publication date: 21 August 2020

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Abstract: This survey describes the method of approximation of operator semigroups, based on the Chernoff theorem. We outline recent results in this domain as well as clarify relations between constructed approximations, stochastic processes, numerical schemes for PDEs and SDEs, path integrals. We discuss Chernoff approximations for operator semigroups and Schr"{o}dinger groups. In particular, we consider Feller semigroups in $mathbb{R}^d$, (semi)groups obtained from some original (semi)groups by different procedures: additive perturbations of generators, multiplicative perturbations of generators (which sometimes corresponds to a random time-change of related stochastic processes), subordination of semigroups / processes, imposing boundary / external conditions (e.g., Dirichlet or Robin conditions), averaging of generators, "rotation" of semigroups. The developed techniques can be combined to approximate (semi)groups obtained via several iterative procedures listed above. Moreover, this method can be implemented to obtain approximations for solutions of some time-fractional evolution equations, although these solutions do not posess the semigroup property.

Full work available at URL: https://arxiv.org/abs/1905.07309

Recommendations

• Chernoff approximation for semigroups generated by killed Feller processes and Feynman formulae for time-fractional Fokker-Planck-Kolmogorov equations
• Chernoff's theorem on one-parametric semigroups
• Speed of convergence of Chernoff approximations to solutions of evolution equations
• Schrodinger type semigroups via Feynman formulae and all that
• Operator-norm approximation of semigroups by quasi-sectorial contractions

zbMATH Keywords

operator splittingapproximation of operator semigroupsRobin boundary conditionsFeller semigroupsFeynman formulasubordinate semigroupsFeynman-Kac formulaeadditive perturbationsmultiplicative perturbationstime-fractional evolution equationsapproximation of transition probabilitiesChernoff approximationEuler-Maruyama schemesSchrödinger-type equationsapproximation of solutions of evolution equationsDirichlet boundary/external conditions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Research exposition (monographs, survey articles) pertaining to operator theory (47-02) Linear operator approximation theory (47A58) Groups and semigroups of linear operators (47D03)

Cites Work

• Financial Modelling with Jump Processes
• Title not available (Why is that?)
• Semigroups of linear operators and applications to partial differential equations
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Feynman formulas as a method of averaging random Hamiltonians
• Analytic semigroups and optimal regularity in parabolic problems
• The random walk's guide to anomalous diffusion: A fractional dynamics approach
• Chernoff's theorem and discrete time approximations of Brownian motion on manifolds
• Feynman formula for Schrödinger-type equations with time- and space-dependent coefficients
• Continuous time random walk models associated with distributed order diffusion equations
• Pseudo differential operators and Markov processes. In 3 vol. Vol. 1: Fourier analysis and semigroups
• Title not available (Why is that?)
• Hamiltonian Feynman path integrals via the Chernoff formula
• Space-Time Approach to Non-Relativistic Quantum Mechanics
• SDEs driven by a time-changed Lévy process and their associated time-fractional order pseudo-differential equations
• Trotter--Kato theorems for bi-continuous semigroups and applications to Feller semigroups.
• Chaos, fractional kinetics, and anomalous transport
• Feynman formulas and path integrals for some evolution semigroups related to \(\tau\)-quantization
• Feynman formulas and functional integrals for diffusion with drift in a domain on a manifold
• Note on product formulas for operator semigroups
• Convergence and approximation of semigroups of nonlinear operators in Banach spaces
• Quasi-Feynman formulas -- a method of obtaining the evolution operator for the Schrödinger equation
• LAGRANGIAN FEYNMAN FORMULAS FOR SECOND-ORDER PARABOLIC EQUATIONS IN BOUNDED AND UNBOUNDED DOMAINS
• Title not available (Why is that?)
• Brownian subordinators and fractional Cauchy problems
• Strong analytic solutions of fractional Cauchy problems
• An Operator Calculus Having Applications in Quantum Electrodynamics
• Feynman formulae for Feller semigroups
• Representations of solutions of Lindblad equations by randomized Feynman formulas
• Randomized Hamiltonian Feynman integrals and Schrödinger-Itô stochastic equations
• New families of subordinators with explicit transition probability semigroup
• Feynman-Kac and Feynman formulas for infinite-dimensional equations with Vladimirov operator
• Lévy matters III. Lévy-type processes: construction, approximation and sample path properties
• Approximation of the semigroup generated by the Robin Laplacian in terms of the Gaussian semigroup
• A probabilistic representation of the solution of some quasi-linear PDE with a divergence form operator. Application to existence of weak solutions of FBSDE.
• Regularity of solutions of linear second order elliptic and parabolic boundary value problems on Lipschitz domains
• Feynman averaging of semigroups generated by Schrödinger operators
• APPROXIMATION OF FELLER PROCESSES BY MARKOV CHAINS WITH LÉVY INCREMENTS
• Integrability of functionals of Dirichlet processes, probabilistic representations of semigroups, and estimates of heat kernels
• Construction of the paths of Brownian motions on star graphs. II
• Perturbations de générateurs infinitésimaux du type changement de temps
• Fractional Fokker-Planck-Kolmogorov type equations and their associated stochastic differential equations
• Probabilistic representation of fundamental solutions to \(\frac{\partial u}{\partial t} = \kappa _m \frac{\partial^m u}{\partial x^m}\)
• Semigroups on nonlinear contractions on convex sets
• Contraction semi-groups in a function space
• Feynman formulas for evolution equations with Lévy Laplacians on infinite-dimensional manifolds
• Title not available (Why is that?)
• Solution of the Schrödinger equation with the use of the translation operator
• Expected Number of Distinct Sites Visited by a Random Walk with an Infinite Variance
• Product formulas, nonlinear semigroups, and addition of unbounded operators
• Hamiltonian Feynman integrals for equations with the Vladimirov operator
• Chernoff approximation for semigroups generated by killed Feller processes and Feynman formulae for time-fractional Fokker-Planck-Kolmogorov equations
• LAGRANGIAN AND HAMILTONIAN FEYNMAN FORMULAE FOR SOME FELLER SEMIGROUPS AND THEIR PERTURBATIONS
• Feynman formulas and path integrals for evolution equations with the Vladimirov operator
• Hamiltonian Feynman formulas for equations containing the vladimirov operator with variable coefficients
• Feynman and Feynman-Kac formulas for evolution equations with Vladimirov operator
• Quasi-Feynman formulas providing solutions of multidimensional Schrödinger equations with unbounded potential
• Feynman formulae and phase space Feynman path integrals for tau-quantization of some Lévy-Khintchine type Hamilton functions
• Title not available (Why is that?)
• Operator Splitting
• Fractional Fokker-Planck-Kolmogorov equations associated with SDEs on a bounded domain
• A general approach to approximation theory of operator semigroups
• Feynman formulas for nonlinear evolution equations
• Beyond the Triangle
• The Euler Scheme for Feller Processes
• Chernoff equivalence for shift operators, generating coherent states in quantum optics
• Title not available (Why is that?)
• Chernoff approximation of subordinate semigroups
• Smooth Contractive Embeddings and Application to Feynman Formula for Parabolic Equations on Smooth Bounded Domains

Cited In (13)

• Rate of convergence of Chernoff approximations of operator \(C_0\)-semigroups
• Characterisations of dilations via approximants, expectations, and functional calculi
• Lp -approximations for solutions of parabolic differential equations on manifolds
• Approximations of self-adjoint \(C_0\)-semigroups in the operator-norm topology
• Notes on the Chernoff product formula
• Feynman formulas for \(qp\)- and \(pq\)-quantization of some Vladimirov type time-dependent Hamiltonians on finite adeles
• Fast converging Chernoff approximations to the solution of heat equation with variable coefficient of thermal conductivity
• Operator-norm Trotter product formula on Banach spaces
• Nonlinear semigroups built on generating families and their Lipschitz sets
• Chernoff approximations of Feller semigroups in Riemannian manifolds
• The Vladimirov operator with variable coefficients on finite adeles and the Feynman formulas for the Schrödinger equation
• Title not available (Why is that?)
• Numerical study of the rate of convergence of Chernoff approximations to solutions of the heat equation

This page was built for publication: The method of Chernoff approximation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5115923)