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JOURNALS // Zapiski Nauchnykh Seminarov POMI // Archive

Zap. Nauchn. Sem. POMI, 2014 Volume 431, Pages 242–252 (Mi znsl6105)

On the approximation of the solutions of some evolution equations by the expectations of functionals of random walks

S. V. Tsykin

St. Petersburg State University, St. Petersburg, Russia

Abstract: We consider some problems associated with a probabilistic representation and a probabilistic approximation of the Cauchy problem solution for the family of equations $\frac{\partial u}{\partial t}=\frac{\sigma^2}2\Delta u$ with a complex parameter $\sigma$ such that $\operatorname{Re}\sigma^2\geqslant0$. This equation coincides with the heat equation when $\operatorname{Im}\sigma=0$ and with the Schrödinger equation when $\operatorname{Re}\sigma^2=0$.

Key words and phrases: limit theorem, Schrödinger equation, Feynman measure, random walk, evolution equation.

UDC: 519.21

Received: 20.10.2014


 English version:
Journal of Mathematical Sciences (New York), 2016, 214:4, 584–591

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