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Theory Stoch. Process., 2010, том 16(32), выпуск 2, страницы 86–105 (Mi thsp78)  

Stochastic flows and signed measure valued stochastic partial differential equations

Peter M. Kotelenez

Department of Mathematics, Case Western Reserve University, 10900 Euclid Avenue Cleveland, OH 44106

Аннотация: Let $N$ point particles be distributed over ${\mathbb{R}}^d, d \in {\mathbb{N}}$. The position of the $i$-th particle at time $t$ will be denoted $r (t,q^i)$ where $q^i$ is the position at $t=0$. $m_i$ is the mass of the $i$-th particle. Let $\delta_r$ be the point measure concentrated in $r$ and ${\mathcal X}_N(0) := \sum_{i =1}^N m_i \delta_{q^i}$ the initial mass distribution of the $ N$ point particles. The empirical mass distribution (also called the “empirical process”) at time $t$ is then given by (we will not indicate the integration domain in what follows if it is $\mathbb{R}^d$)
$${\mathcal X}_N (t) := \sum_{i =1}^N m_i \delta_{r(t,q^i)} = \int \delta_{r(t,q)} {\mathcal X}_N(0,dq), $$
i.e., by the $N-$particle flow. In Kotelenez (2008) the masses are positive and the motion of the positions of the point particles is described by a stochastic ordinary differential equation (SODE). Further, the resulting empirical process is the solution of a stochastic partial differential equation (SPDE) which, by a continuum limit, can be extended to an SPDE in smooth positive measures. Some generalizations to the case of signed measures with applications in 2D fluid mechanics have been made (Cf. , e.g., Marchioro and Pulvirenti (1982), Kotelenez (1995a,b), Kurtz and Xiong (1999), Amirdjanova (2000), (2007), Amirdjanova and Xiong (2006)). We extend some of those results and results of Kotelenez (2008), showing that the signed measure valued solutions of the SPDEs preserve the Hahn-Jordan decomposition of the initial distributions which has been an open problem for some time.

Ключевые слова: Stochastic partial differential equations, signed measures, Hahn–Jordan decomposition, stochastic flows, stochastic ordinary differential equations, correlation Brownian motions.

Финансовая поддержка Номер гранта
NSA - National Security Agency
Partially supported by NSA grant.


Полный текст: PDF файл (260 kB)
Список литературы: PDF файл   HTML файл

Реферативные базы данных:
Тип публикации: Статья
MSC: Primary 60G57; Secondary 60H15
Язык публикации: английский

Образец цитирования: Peter M. Kotelenez, “Stochastic flows and signed measure valued stochastic partial differential equations”, Theory Stoch. Process., 16(32):2 (2010), 86–105

Цитирование в формате AMSBIB
\RBibitem{Kot10}
\by Peter M. Kotelenez
\paper Stochastic flows and signed measure valued stochastic partial differential equations
\jour Theory Stoch. Process.
\yr 2010
\vol 16(32)
\issue 2
\pages 86--105
\mathnet{http://mi.mathnet.ru/thsp78}
\mathscinet{http://www.ams.org/mathscinet-getitem?mr=2779987}
\zmath{https://zbmath.org/?q=an:1249.60099}


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  • http://mi.mathnet.ru/rus/thsp/v16/i2/p86

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