Path integral formulations of SDEs
Feynman path integrals, esp for stochastic processes
April 19, 2021 — April 19, 2021
Applications of the famous Feynman-style path integral for quantum systems to statistical systems of interest.
Path integrals are given by the sum over all paths satisfying some boundary conditions and can be understood as extensions to an infinite number of integration variables of usual multi-dimensional integrals.
Nothing to say here yet. Keywords: Onsager-Machlup, Fokker-Planck. Does it connect to Feynman-Kac formulae? I think so, looking at Wio (2013).
TODO: mention how they break differently in Itô vs Stratonovich.
1 References
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