论文标题

固定时间的自由fokker-planck方程的统计反卷积

Statistical deconvolution of the free Fokker-Planck equation at fixed time

论文作者

Maïda, Mylène, Nguyen, Tien Dat, Ngoc, Thanh Mai Pham, Rivoirard, Vincent, Tran, Viet Chi

论文摘要

我们有兴趣通过在给定时间$ t> 0 $的情况下观察到dyson Brownian运动的观察,重建非线性部分微分方程(PDE),即Fokker-Planck方程。 Fokker-Planck方程描述了静电排斥粒子系统的演化,可以看作是正确重新归一化的Dyson Brownian运动的大粒子极限。 Fokker-Planck方程的解可以写为初始条件和半圆形分布的自由卷积。我们提出了一个非参数估计器,以通过从属函数方法执行自由反卷积获得的初始条件。该统计估计器是原始的,因为它涉及固定点方程的分辨率,以及通过cauchy分布的经典反卷积。这是由于以下事实:自由概率,傅立叶变换的类似物是与Cauchy变换有关的R变换。在过去的文献中,人们一直关注估计线性PDE的初始条件,例如热方程,但据我们所知,这是第一次解决该问题的非线性PDE。证明了估计器的收敛性,并计算了集成的均方误差,提供了类似于非参数反卷积方法的收敛速率。最后,一项仿真研究说明了我们的估计器的良好表现。

We are interested in reconstructing the initial condition of a non-linear partial differential equation (PDE), namely the Fokker-Planck equation, from the observation of a Dyson Brownian motion at a given time $t>0$. The Fokker-Planck equation describes the evolution of electrostatic repulsive particle systems, and can be seen as the large particle limit of correctly renormalized Dyson Brownian motions. The solution of the Fokker-Planck equation can be written as the free convolution of the initial condition and the semi-circular distribution. We propose a nonparametric estimator for the initial condition obtained by performing the free deconvolution via the subordination functions method. This statistical estimator is original as it involves the resolution of a fixed point equation, and a classical deconvolution by a Cauchy distribution. This is due to the fact that, in free probability, the analogue of the Fourier transform is the R-transform, related to the Cauchy transform. In past literature, there has been a focus on the estimation of the initial conditions of linear PDEs such as the heat equation, but to the best of our knowledge, this is the first time that the problem is tackled for a non-linear PDE. The convergence of the estimator is proved and the integrated mean square error is computed, providing rates of convergence similar to the ones known for non-parametric deconvolution methods. Finally, a simulation study illustrates the good performances of our estimator.

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