Stochastic dynamics: A review of stochastic calculus of variations (Q1057578): Difference between revisions

We present the main results of a variational calculus for Markovian stochastic processes which allows us to characterize the dynamics of probabilistic systems by extremal properties for some functionals of processes. They generalize, by construction, the main variational formulations of classical dynamics. This framework is used for the dynamical analysis of Nelson's stochastic mechanics, an approach to quantum mechanics in which the concept of trajectory for particles still makes sense. The semiclassical limit is formulated in terms of the second variation of the starting functional. We also use the proposed stochastic calculus of variations in the context of statistical mechanics of systems far from equilibrium, namely, to solve the Onsager-Machlup problem.