Critical Ornstein-Uhlenbeck processes (Q1819830): Difference between revisions
From MaRDI portal
Created a new Item |
ReferenceBot (talk | contribs) Changed an Item |
||
(2 intermediate revisions by 2 users not shown) | |||
Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Stochastic calculus of variations and mechanics / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Optimal Control and Nonlinear Filtering for Nondegenerate Diffusion Processes / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q5653395 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q3908216 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: On the Stochastic Realization Problem / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q5632263 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q5552132 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q3676873 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q5531487 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Stochastic calculus of variations / rank | |||
Normal rank | |||
links / mardi / name | links / mardi / name | ||
Latest revision as of 19:03, 17 June 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Critical Ornstein-Uhlenbeck processes |
scientific article |
Statements
Critical Ornstein-Uhlenbeck processes (English)
0 references
1986
0 references
The Ornstein-Uhlenbeck position process with the invariant measure is shown to satisfy a variational principle quite analogous to Hamilton's least action principle of classical mechanics. To prove this, a stochastic calculus of variations is developed for processes with differentiable sample paths, and which form a diffusion together with their derivative. The key tool in the derivation of stochastic Euler-Lagrange-type equations is a symmetric variant of Nelson's integration by parts formula for semimartingales simultaneously adapted to an increasing and a decreasing family of \(\sigma\)-algebras. An energy conservation theorem is also proved.
0 references
Ornstein-Uhlenbeck position process
0 references
variational principle
0 references
Nelson's integration by parts formula for semimartingales
0 references