Path-integral calculation of multivariate Fokker-Planck systems

DOI10.1016/0895-7177(95)00079-HMaRDI QIDQ1900253zbMATH OpenOpenAlexFDO

Authors Lester Ingber

Publication date 14 January 1996

Published in Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0895-7177(95)00079-h

zbMATH Keywords

multivariate systemsnon-Monte-Carlo path-integral algorithmnonlinear Fokker-Planck systems

Mathematics Subject Classification ID

PDEs in connection with quantum mechanics (35Q40) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Applications to the sciences (65Z05)

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Cites work

• scientific article; zbMATH DE number 3796268 (Why is no real title available?)
• Application of statistical mechanics methodology to term-structure bond- pricing models
• Multiple scales of statistical physics of the neocortex: Application to electroencephalography
• Statistical mechanics of combat with human factors
• Statistical mechanics of nonlinear nonequilibrium financial markets
• Stochastic chaos in a class or Fokker-Planck equations

Cited in

(5)

• Path-space variational inference for non-equilibrium coarse-grained systems
• A transformed path integral approach for solution of the Fokker-Planck equation
• Solution of the multivariate Fokker–Planck equation by using a maximum path entropy principle
• Path integral derivation and numerical computation of large deviation prefactors for non-equilibrium dynamics through matrix Riccati equations
• Path integral solution of the system with coloured multiplicative noise

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