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: | , , , , |
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| Format: | Article |
| Language: | English |
| Published: |
EDP Sciences
2018-01-01
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| Series: | EPJ Web of Conferences |
| Online Access: | https://doi.org/10.1051/epjconf/201817302003 |
| _version_ | 1818454836497088512 |
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| author | Ayryan Edik Egorov Alexander Kulyabov Dmitri Malyutin Victor Sevastianov Leonid |
| author_facet | Ayryan Edik Egorov Alexander Kulyabov Dmitri Malyutin Victor Sevastianov Leonid |
| author_sort | Ayryan Edik |
| collection | DOAJ |
| 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. |
| first_indexed | 2024-12-14T22:01:13Z |
| format | Article |
| id | doaj.art-f552ee708e654f15aab4446f8a276d80 |
| institution | Directory Open Access Journal |
| issn | 2100-014X |
| language | English |
| last_indexed | 2024-12-14T22:01:13Z |
| publishDate | 2018-01-01 |
| publisher | EDP Sciences |
| record_format | Article |
| series | EPJ Web of Conferences |
| spelling | doaj.art-f552ee708e654f15aab4446f8a276d802022-12-21T22:45:59ZengEDP 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 |
| 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 |
| title | 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_short | 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 |
| url | https://doi.org/10.1051/epjconf/201817302003 |
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