Mathematics – Probability
Scientific paper
2006-01-12
Bernoulli 2008, Vol. 14, No. 2, 322-351
Mathematics
Probability
Published in at http://dx.doi.org/10.3150/07-BEJ106 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statisti
Scientific paper
10.3150/07-BEJ106
We consider the Cauchy problem for a pseudo-differential operator which has a translation-invariant and analytic symbol. For a certain set of initial conditions, a formal solution is obtained by a perturbative expansion. The series so obtained can be re-expressed in terms of generalized Feynman graphs and Feynman rules. The logarithm of the solution can then be represented by a series containing only the connected Feynman graphs. Under some conditions, it is shown that the formal solution uniquely determines the real solution by means of Borel transforms. The formalism is then applied to probabilistic L\'{e}vy distributions. Here, the Gaussian part of such a distribution is re-interpreted as a initial condition and a large diffusion expansion for L\'{e}vy densities is obtained. It is outlined how this expansion can be used in statistical problems that involve L\'{e}vy distributions.
Gottschalk Hanno
Smii Boubaker
Thaler Horst
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