Continuity and consistency of moment-based matching operators
Continuity and consistency of moment-based matching operators
Let be a sequence of restriction operators whose macroscopic state variables are the first centralized moments, with and for . Let be the corresponding matching operators defined via the stated matching construction. Suppose that 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 and all sequences of macroscopic states , and is consistent for every sequence of triples with . 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.
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Primary source
Kristian Debrabant and Giovanni Samaey, “A micro/macro algorithm to accelerate Monte Carlo simulation of stochastic differential equations”, arXiv:1009.3767 (2011).
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