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...
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EDP Sciences
2018-01-01
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Series: | EPJ Web of Conferences |
Online Access: | https://doi.org/10.1051/epjconf/201817302003 |
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doaj-f552ee708e654f15aab4446f8a276d802021-08-02T20:06:46ZengEDP SciencesEPJ Web of Conferences2100-014X2018-01-011730200310.1051/epjconf/201817302003epjconf_mmcp2018_02003Functional Integral Approach to the Solution of a System of Stochastic Differential EquationsAyryan EdikEgorov AlexanderKulyabov DmitriMalyutin VictorSevastianov LeonidA 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.https://doi.org/10.1051/epjconf/201817302003 |
collection |
DOAJ |
language |
English |
format |
Article |
sources |
DOAJ |
author |
Ayryan Edik Egorov Alexander Kulyabov Dmitri Malyutin Victor Sevastianov Leonid |
spellingShingle |
Ayryan Edik Egorov Alexander Kulyabov Dmitri Malyutin Victor Sevastianov Leonid Functional Integral Approach to the Solution of a System of Stochastic Differential Equations EPJ Web of Conferences |
author_facet |
Ayryan Edik Egorov Alexander Kulyabov Dmitri Malyutin Victor Sevastianov Leonid |
author_sort |
Ayryan Edik |
title |
Functional Integral Approach to the Solution of a System of Stochastic Differential Equations |
title_short |
Functional Integral Approach to the Solution of a System of Stochastic Differential Equations |
title_full |
Functional Integral Approach to the Solution of a System of Stochastic Differential Equations |
title_fullStr |
Functional Integral Approach to the Solution of a System of Stochastic Differential Equations |
title_full_unstemmed |
Functional Integral Approach to the Solution of a System of Stochastic Differential Equations |
title_sort |
functional integral approach to the solution of a system of stochastic differential equations |
publisher |
EDP Sciences |
series |
EPJ Web of Conferences |
issn |
2100-014X |
publishDate |
2018-01-01 |
description |
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. |
url |
https://doi.org/10.1051/epjconf/201817302003 |
work_keys_str_mv |
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1721227344219209728 |