Application of functional integrals to stochastic equations
- 作者: Ayryan E.1,2, Egorov A.3, Kulyabov D.1,2, Malyutin V.3, Sevastyanov L.2,4
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隶属关系:
- Laboratory of Information Technologies
- Peoples’ Friendship University of Russia
- Institute of Mathematics
- Bogoliubov Laboratory of Theoretical Physics
- 期: 卷 9, 编号 3 (2017)
- 页面: 339-348
- 栏目: Article
- URL: https://journals.rcsi.science/2070-0482/article/view/201732
- DOI: https://doi.org/10.1134/S2070048217030024
- ID: 201732
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详细
Representing a probability density function (PDF) and other quantities describing a solution of stochastic differential equations by a functional integral is considered in this paper. Methods for the approximate evaluation of the arising functional integrals are presented. Onsager–Machlup functionals are used to represent PDF by a functional integral. Using these functionals the expression for PDF on a small time interval Δt can be written. This expression is true up to terms having an order higher than one relative to Δt. A method for the approximate evaluation of the arising functional integrals is considered. This method is based on expanding the action along the classical path. As an example the application of the proposed method to evaluate some quantities to solve the equation for the Cox–Ingersol–Ross type model is considered.
作者简介
E. Ayryan
Laboratory of Information Technologies; Peoples’ Friendship University of Russia
编辑信件的主要联系方式.
Email: ayrjan@jinr.ru
俄罗斯联邦, Dubna; Moscow
A. Egorov
Institute of Mathematics
Email: ayrjan@jinr.ru
白俄罗斯, Minsk
D. Kulyabov
Laboratory of Information Technologies; Peoples’ Friendship University of Russia
Email: ayrjan@jinr.ru
俄罗斯联邦, Dubna; Moscow
V. Malyutin
Institute of Mathematics
Email: ayrjan@jinr.ru
白俄罗斯, Minsk
L. Sevastyanov
Peoples’ Friendship University of Russia; Bogoliubov Laboratory of Theoretical Physics
Email: ayrjan@jinr.ru
俄罗斯联邦, Moscow; Dubna