Relation of a new interpretation of stochastic differential equations to Itô process

DOI10.1007/s10955-012-0532-8zbMath1251.82043arXiv1111.2987OpenAlexW2950407062MaRDI QIDQ453762

Jianghong Shi, Tianqi Chen, Ping Ao, Ruoshi Yuan, Bo Yuan

Publication date: 27 September 2012

Published in: Journal of Statistical Physics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1111.2987

zbMATH Keywords

stochastic differential equationFokker-Planck equationpotential functionBoltzmann-Gibbs distribution

Mathematics Subject Classification ID

Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Generation, random and stochastic difference and differential equations (37H10)

Related Items (8)

Accurate Chemical Master Equation Solution Using Multi-Finite Buffers ⋮ Stochastic modeling of nonlinear oscillators under combined Gaussian and Poisson white noise: a viewpoint based on the energy conservation law ⋮ The free energy principle made simpler but not too simple ⋮ Beyond Itô versus Stratonovich ⋮ A decomposition of irreversible diffusion processes without detailed balance ⋮ The Smoluchowski-Kramers limit of stochastic differential equations with arbitrary state-dependent friction ⋮ Irreversible samplers from jump and continuous Markov processes ⋮ Potentials of continuous Markov processes and random perturbations

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