Two-gate formula

DOI10.1007/BF01665850MaRDI QIDQ1092523zbMATH OpenOpenAlexFDO

Authors Min Qian, Maozhen Guo, Biao Zhang

Publication date 1985

Published in Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf01665850

zbMATH Keywords

Brownian bridgepath integraltwo gate formula

Mathematics Subject Classification ID

Stochastic integrals (60H05) Diffusion processes (60J60) Brownian motion (60J65)

Review text

The two gate formula for a diffusion \(X_ t\) in \(R^ n\) is considered. The formula gives an expression of the density function of \(X_ t\) in terms of the path integral of the Brownian bridge starting from x and ending on y at time t.

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Cites work

• scientific article; zbMATH DE number 3656300 (Why is no real title available?)
• scientific article; zbMATH DE number 3721546 (Why is no real title available?)
• scientific article; zbMATH DE number 3780265 (Why is no real title available?)
• scientific article; zbMATH DE number 3383043 (Why is no real title available?)
• Variational principle for non-equilibrium states and the Onsager-Machlup formula.

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