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Dal'nevostochnyi Matematicheskii Zhurnal, 2017, Volume 17, Number 1, Pages 22–29 (Mi dvmg339)  
Application of the path integral for calculation of simultaneous probability density

M. A. Guzevab

a Institute for Applied Mathematics, Far Eastern Branch, Russian Academy of Sciences, Vladivostok
b Far Eastern Federal University, Vladivostok
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Abstract: Probability density of a random process was calculated for the linear problem of stochastic dynamics. The result obtained was shown to require the definition of the Green's function of the corresponding problem. The formulas were applied for analysis of one-dimensional Langevin equations and of the particle motion under the influence of random external forces in the presence of linear friction.
Key words: stochastic dynamics, probability density, Gaussian processes, path integrals, Langevin equation.
Funding agency Grant number
Программа Дальний Восток 15-I-4-041
Received: 14.04.2017
Bibliographic databases:
Document Type: Article
UDC: 539
MSC: Primary 60G15; Secondary 81S40
Language: Russian
Citation: M. A. Guzev, “Application of the path integral for calculation of simultaneous probability density”, Dal'nevost. Mat. Zh., 17:1 (2017), 22–29
Citation in format AMSBIB
\Bibitem{Guz17}
\by M.~A.~Guzev
\paper Application of the path integral for calculation of simultaneous probability density
\jour Dal'nevost. Mat. Zh.
\yr 2017
\vol 17
\issue 1
\pages 22--29
\mathnet{http://mi.mathnet.ru/dvmg339}
\elib{https://elibrary.ru/item.asp?id=32239868}
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