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Seminar on Probability Theory and Mathematical Statistics
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Approximation of operator semigroups generated by Markov processes with the help of the Chernoff theorem Ya. A. Butko |
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Abstract: We present a method to approximate evolution semigroups generated by Markov processes and, therefore, transition probabilities of these processes. This method is based on the Chernoff theorem. In some cases, Chernoff approximations provide also Markov chains approximating the considered processes and Euler-Maruyama Schemes for the related SDEs. In some cases, Chernoff approximations have the form of limits of n iterated integrals of elementary functions as n tends to infinity (in this case, they are called Feynman formulae) and can be used for direct computations and simulations of Markov processes. The limits in Feynman formulae sometimes coincide with (or give rise to) path integrals with respect to probability measures (such path integrals are usually called Feynman-Kac formulae). Therefore, Feynman formulae can be used to approximate the corresponding path integrals and to establish relations between different path integrals. In this talk, we discuss Chernoff approximations for (semigroups generated by) Feller processes in |