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In the present paper we discuss a possibility to construct both a probabilistic representation and a probabilistic approximation of the Cauchy problem solution for an equation partial derivative u/partial derivative t=sigma(2)/2 Delta u+V(x)u, where sigma is a complex parameter such that Re sigma(2) >= 0. This equation coincides with the heat equation when Im sigma(2) = 0 and with the Schrodinger equation when sigma(2) = iS where S is a positive number. (C) 2015 Elsevier B.V. All rights reserved.
Original language | English |
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Pages (from-to) | 4455-4472 |
Number of pages | 18 |
Journal | Stochastic Processes and their Applications |
Volume | 125 |
Issue number | 12 |
DOIs | |
State | Published - Dec 2015 |
ID: 35402336