Functional Integral Approach to the Solution of a System of Stochastic Differential Equations
1 Laboratory of Information Technologies, Joint Institute for Nuclear Research, Dubna, Russia
2 Peoples’ Friendship University of Russia (RUDN University), Moscow, Russia
3 Institute of Mathematics, National Academy of Sciences of Belarus, Minsk, Belarus
4 Bogoliubov Laboratory of Theoretical Physics, Joint Institute for Nuclear Research, Russia
Published online: 14 February 2018
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.
© The Authors, published by EDP Sciences, 2018
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