Stochastic complementary variational principles

DOI10.1016/0020-7225(85)90133-8MaRDI QIDQ1058779zbMATH OpenOpenAlexFDO

Authors J. Blot

Publication date 1985

Published in International Journal of Engineering Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0020-7225(85)90133-8

zbMATH Keywords

extremal propertiesstochastic mechanicsvariational principles for functionals of convex- concave type

Mathematics Subject Classification ID

Optimality conditions (49K99) Variational principles of physics (49S05) Stochastic analysis (60H99) Markov processes (60J99)

Review text

We are concerned with a variational calculus for Markovian stochastic processes, which characterizes the dynamics of probabilistic systems by extremal properties for some functionals of processes. Specifically, we develop stochastic dual or complementary variational principles for functionals of convex-concave type. Conditions for the existence of a pair of dual extremum principles are given. Application to the stochastic mechanics of Nelson is given.

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Cites work

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• On Dual Extremum Principles in Applied Mathematics
• Semi-classical quantum mechanics and stochastic calculus of variations
• Stochastic calculus of variations
• Variational methods in theoretical mechanics

Cited in

(7)

• Variational principles and Lagrangian functions for stochastic processes and their dissipative statistical descriptions
• Critical Ornstein-Uhlenbeck processes
• A variational principle for Markov processes
• Special issue: SI ``Deterministic and stochastic variational principles and applications. December 2015
• scientific article; zbMATH DE number 4018035 (Why is no real title available?)
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• Average preserving variation processes in view of optimization

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