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JOURNALS // Zapiski Nauchnykh Seminarov POMI // Archive

Zap. Nauchn. Sem. POMI, 2011 Volume 396, Pages 111–143 (Mi znsl4655)

This article is cited in 9 papers

A probabilistic approximation of the Cauchy problem solution of some evolution equations

I. A. Ibragimovab, N. V. Smorodinac, M. M. Faddeevc

a St. Petersburg State University, Faculty of Mathematics and Mechanics, St. Petersburg, Russia
b St. Petersburg Department of V. A. Steklov Institute of Mathematics, Russian Academy of Sciences, St. Petersburg, Russia
c St. Petersburg State University, Faculty of Physics, St. Petersburg, Russia

Abstract: In our paper we construct an analogy of a probabilistic representation of the Cauchy problem solution of the equation $\frac{\partial u}{\partial t}+\frac{\sigma^2}2\frac{\partial^2u}{\partial x^2}+f(x)u=0$, where $\sigma$ is a complex number.

Key words and phrases: random processes, evolution equations, limit theorems, Feynman–Kac formula.

UDC: 519.2

Received: 11.10.2011


 English version:
Journal of Mathematical Sciences (New York), 2013, 188:6, 700–716

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© Steklov Math. Inst. of RAS, 2024