Functional Integral Approach to the Solution of a System of Stochastic Differential Equations
A new method for the evaluation of the characteristics of the solution of a system of stochastic differential equations is presented. This method is based on the representation of a probability density function p through a functional integral. The functional integral representation is obtained by me...
| Main Authors: | , , , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
EDP Sciences
2018-01-01
|
| Series: | EPJ Web of Conferences |
| Online Access: | https://doi.org/10.1051/epjconf/201817302003 |
| Summary: | A new method for the evaluation of the characteristics of the solution of a system of stochastic differential equations is presented. This method is based on the representation of a probability density function p through a functional integral. The functional integral representation is obtained by means of the Onsager-Machlup functional technique for a special case when the diffusion matrix for the SDE system defines a Riemannian space with zero curvature. |
|---|---|
| ISSN: | 2100-014X |