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JOURNALS // Matematicheskoe modelirovanie // Archive

Mat. Model., 2020 Volume 32, Number 1, Pages 111–128 (Mi mm4151)

Modeling evolution sample distributions of random quantities by the equation of Liuville

A. A. Kislitsin, Yu. N. Orlov

Keldysh Institite of Applied Mathematics RAS

Abstract: The difference approximation of the one-dimensional Liouville equation for the sample distribution density of the non-stationary time series estimated by the histogram is considered. We prove a necessary and sufficient condition that the change in the sample density of the distribution over a certain period of time can be modeled as the evolution of the density according to the Liouville equation. This condition is a strong positivity of the initial density distribution in the inner class intervals. The determination of the corresponding velocity algorithm is constructed and its mechanical-statistical meaning is shown as a semigroup equivalent in Chernoff sense to the average semigroup, generating the evolution of the distribution function.

Keywords: Liouville equation, non-stationary time series, sample distribution function, Chernoff equivalence.

Received: 24.06.2019
Revised: 24.06.2019
Accepted: 09.09.2019

DOI: 10.20948/mm-2020-01-08


 English version:
Mathematical Models and Computer Simulations, 2020, 12:5, 747–756


© Steklov Math. Inst. of RAS, 2025