Stochastic calculus of variations and mechanics

DOI10.1007/BF00934436zbMath0497.49013MaRDI QIDQ1170748

Wendell H. Fleming

Publication date: 1983

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

zbMATH Keywords

stochastic calculus of variationslogarithmic transformationstochastic mechanicsheat equation with a potential termleast average action

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Special integral transforms (Legendre, Hilbert, etc.) (44A15) Classical equilibrium statistical mechanics (general) (82B05) Partial differential equations of mathematical physics and other areas of application (35Q99) Existence of optimal solutions to problems involving randomness (49J55)

Related Items (16)

A PDE approach to some asymptotic problems concerning random differential equations with small noise intensities ⋮ The Burgers equations and the Born rule ⋮ Schrödinger conditional brownian motion and stochastic calculus of variations ⋮ Stochastic control and nonequilibrium thermodynamical systems ⋮ Quantum-mechanical representations of nonlinear filtering and stochastic optimal control ⋮ Second-Order Hamilton–Jacobi PDE Problems and Certain Related First-Order Problems, Part 1: Approximation ⋮ Parameter sensitivity in stochastic optimal control^∗ ⋮ A stochastic control verification theorem for the dequantized Schrödinger equation not requiring a duration restriction ⋮ An interpretation of the Schrödinger equation in quantum mechanics from the control-theoretic point of view ⋮ Sufficiency conditions for existence of an optimal feedback control in stochastic mechanics ⋮ Variational and optimal control representations of conditioned and driven processes ⋮ Controllability of a Fokker-Planck equation, the Schrödinger system, and a related stochastic optimal control (revised version) ⋮ Derivation of the non-linear Schrödinger equation from stochastic optimal control ⋮ Critical Ornstein-Uhlenbeck processes ⋮ Stochastic variational formula for fundamental solutions of parabolic PDE ⋮ Exit problem and control theory

Cites Work

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• A path-probability representation for wavefunctions
• Exit probabilities and optimal stochastic control
• The Cauchy problem for a nonlinear first order partial differential equation
• On a stochastic representation for the principal eigenvalue of a second-order differential equation
• A new energy characterization of the smallest eigenvalue of the schrödinger equation
• Classical mechanics, the diffusion (heat) equation, and the Schrödinger equation
• Stochastic Control for Small Noise Intensities
• The partial differential equation u_t + uu_x = μ_xx

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