Continuity and consistency of moment-based matching operators

Let (R[L])L=1,2,\left(\overline{\mathcal R_{[L]}}\right)_{L=1,2,\dots} be a sequence of restriction operators whose macroscopic state variables are the first LL centralized moments, with u1(z)=zu_1(z)=z and ul(z)=(zU1)lu_l(z)=(z-U_1)^l for l=2,,Ll=2,\ldots,L. Let (P[L])L=1,2,\left(\overline{\mathcal P_{[L]}}\right)_{L=1,2,\dots} be the corresponding matching operators defined via the stated matching construction. Suppose that SS is a set of random variables such that all centralized moments of its members exist, uniquely determine the corresponding distribution function, and can each be uniformly bounded. Moment-matching conjecture. The sequence of matching operators is continuous for SS and all sequences of macroscopic states U[L]\bm U_{[L]}, and is consistent for every sequence of triples (Z[L],Z[L]+,U[L])L=1,2,\left(Z_{[L]}^*,Z_{[L]}^+,\bm U_{[L]}\right)_{L=1,2,\dots} with Z[L],Z[L]+SZ_{[L]}^*,Z_{[L]}^+\in S. This conjecture extends the established Gaussian case to general distributions; the paper gives numerical evidence, but no proof of the asserted continuity and consistency is provided.

Sources & referencesView supporting material

Primary source

Kristian Debrabant and Giovanni Samaey, “A micro/macro algorithm to accelerate Monte Carlo simulation of stochastic differential equations”, arXiv:1009.3767 (2011).

Progress summary

Never refreshed

Nothing recorded yet. Refresh searches the literature and the public web for attempts on this problem, and writes the first summary here.

Solutions 0

No solutions have been posted yet.