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 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. © 2018 The Authors, published by EDP Sciences.

Authors
Ayryan E. 1, 2 , Egorov A.3 , Kulyabov D. 1, 2 , Malyutin V.3 , Sevastianov L. 2, 4
Conference proceedings
EPJ Web of Conferences
Publisher
EDP Sciences
Language
English
Status
Published
DOI
10.1051/epjconf/201817302003
Number
02003
Volume
173
Year
2018
Organizations
  • 1 Laboratory of Information Technologies, Joint Institute for Nuclear Research, Dubna, Russian Federation
  • 2 Peoples' Friendship University of Russia, RUDN University, Moscow, Russian Federation
  • 3 Institute of Mathematics, National Academy of Sciences of Belarus, Minsk, Belarus
  • 4 Bogoliubov Laboratory of Theoretical Physics, Joint Institute for Nuclear Research, Russian Federation
Date of creation
19.10.2018
Date of change
01.03.2021
Short link
https://repository.rudn.ru/en/records/article/record/6852/
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