Chernoff Approximation for Semigroups Generated by Killed Feller Processes and Feynman Formulae for Time-Fractional Fokker–Planck–Kolmogorov Equations

Abstract

Abstract We consider operator semigroups generated by Feller processes killed upon leaving a given domain. These semigroups correspond to Cauchy–Dirichlet type initial-exterior value problems in this domain for a class of evolution equations with (possibly non-local) operators. The considered semigroups are approximated by means of the Chernoff theorem. For a class of killed Feller processes, the constructed Chernoff approximation leads to a representation of the solution of the corresponding Cauchy–Dirichlet type problem by a Feynman formula, i.e. by a limit of n-fold iterated integrals of certain functions as n → ∞. Feynman formulae can be used for direct calculations, modelling of underlying dynamics, simulation of underlying stochastic processes. Further, a method to approximate solutions of time-fractional evolution equations is suggested. The method is based on connections between time-fractional and time-non-fractional evolution equations as well as on Chernoff approximations for the latter ones. This method leads to Feynman formulae for solutions of time-fractional evolution equations. A class of distributed order time-fractional equations is considered; Feynman formulae for solutions of the corresponding Cauchy and Cauchy–Dirichlet type problems are obtained.