2021/06/07 by Yuri Kozitsky, Kozitsky, Yuri, Agnieszka Tanaś +1
Economics, Econometrics and Finance · Mathematics · Physics and Astronomy · #35Q84 #37A50 #60J80 #93E03 #Advanced Thermodynamics and Statistical Mechanics #FOS: Mathematics #Probability (math.PR) #Stochastic processes and financial applications #Stochastic processes and statistical mechanics
paper · pdf · doi:10.48550/arxiv.2106.03483
openalex publication_date 2021/06/07 · openalex created_date 2022/09/30 · openalex updated_date 2026/07/28
We study the evolution of states of an infinite system of point particles dwelling in a locally compact Polish space X. Each particle produces at random a finite `cloud' of offsprings distributed over X according to some law, and disappears afterwards. The system's states are probability measures on an appropriate space of locally finite counting measures on X. Their evolution is obtained by solving the corresponding Fokker-Planck equation. We prove that this equation has a unique solution and discuss some of its properties. Our pivotal idea of dealing with infinite systems consists in passing to tempered counting measures by imposing appropriate restrictions on the branching. In this approach, we first solve a nonlinear evolution equation in the space of bounded continuous functions on X -- so called log-Laplace equation. Next we solve the Kolmogorov equation which is then used to solve the Fokker-Planck equation and thus describe the evolution in question.