The Feynman graph representation of convolution semigroups and its applications to Lévy statistics

Hanno Gottschalk*, Boubaker Smii, Horst Thaler

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

12 Scopus citations

Abstract

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 Lévy distributions. Here, the Gaussian part of such a distribution is re-interpreted as a initial condition and a large diffusion expansion for Lévy densities is obtained. It is outlined how this expansion can be used in statistical problems that involve Lévy distributions.

Original languageEnglish
Pages (from-to)322-351
Number of pages30
JournalBernoulli
Volume14
Issue number2
DOIs
StatePublished - May 2008
Externally publishedYes

Keywords

  • Borel summability
  • Convolution semigroups
  • Feynman graphs and rules
  • Lévy distributions
  • Maximum likelihood principle

ASJC Scopus subject areas

  • Statistics and Probability

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