Functional Integral Approach to the Solution of a System of Stochastic Differential Equations

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...

Full description

Bibliographic Details
Main Authors: Ayryan Edik, Egorov Alexander, Kulyabov Dmitri, Malyutin Victor, Sevastianov Leonid
Format: Article
Language:English
Published: EDP Sciences 2018-01-01
Series:EPJ Web of Conferences
Online Access:https://doi.org/10.1051/epjconf/201817302003
id doaj-f552ee708e654f15aab4446f8a276d80
record_format Article
spelling 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 AT ayryanedik functionalintegralapproachtothesolutionofasystemofstochasticdifferentialequations
AT egorovalexander functionalintegralapproachtothesolutionofasystemofstochasticdifferentialequations
AT kulyabovdmitri functionalintegralapproachtothesolutionofasystemofstochasticdifferentialequations
AT malyutinvictor functionalintegralapproachtothesolutionofasystemofstochasticdifferentialequations
AT sevastianovleonid functionalintegralapproachtothesolutionofasystemofstochasticdifferentialequations
_version_ 1721227344219209728

Similar Items