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TMF, 2024 Volume 218, Number 2, Pages 238–257 (Mi tmf10548)

Unitary representation of walks along random vector fields and the Kolmogorov–Fokker–Planck equation in a Hilbert space

V. M. Busovikovab, Yu. N. Orlovc, V. Zh. Sakbaevc

a Phystech School of Applied Mathematics and Informatics, Moscow Institute of Physics and Technology (National Research University), Dolgoprudny, Moscow Region, Russia
b Steklov Mathematical Institute of Russian Academy of Sciences, Moscow, Russia
c Keldysh Institute of Applied Mathematics, Russian Academy of Sciences, Moscow, Russia

Abstract: Random Hamiltonian flows in an infinite-dimensional phase space is represented by random unitary groups in a Hilbert space. For this, the phase space is equipped with a measure that is invariant under a group of symplectomorphisms. The obtained representation of random flows allows applying the Chernoff averaging technique to random processes with values in the group of nonlinear operators. The properties of random unitary groups and the limit distribution for their compositions are described.

Keywords: random operator, random Hamiltonian flow, invariant measure, A. Weil theorem, Gaussian random walk, Laplace–Volterra operator, Sobolev space, Kolmogorov–Fokker–Planck equation.

Received: 30.05.2023
Revised: 28.06.2023

DOI: 10.4213/tmf10548


 English version:
Theoretical and Mathematical Physics, 2024, 218:2, 205–221

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© Steklov Math. Inst. of RAS, 2024