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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 2022 Volume 67, Issue 1, Pages 81–99 (Mi tvp5425)

This article is cited in 2 papers

An analogue of the Feynman–Kac formula for a high-order operator

M. V. Platonovaab

a St. Petersburg Department of Steklov Mathematical Institute of Russian Academy of Sciences
b Chebyshev Laboratory, St. Petersburg State University, Department of Mathematics and Mechanics

Abstract: In this paper, we construct a probabilistic approximation of the evolution operator $\exp\bigl(t\bigl({\frac{(-1)^{m+1}}{(2m)!}\,\frac{d^{2m}}{dx^{2m}}+V}\bigr)\bigr)$ in the form of expectations of functionals of a point random field. This approximation can be considered as a generalization of the Feynman–Kac formula to the case of a differential equation of order $2m$.

Keywords: evolution equations, Poisson random measures, Feynman–Kac formula.

Received: 12.07.2020
Accepted: 12.10.2020

DOI: 10.4213/tvp5425


 English version:
Theory of Probability and its Applications, 2022, 67:1, 62–76

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© Steklov Math. Inst. of RAS, 2024