Critical Ornstein-Uhlenbeck processes

DOI10.1007/BF01442240zbMath0614.60074MaRDI QIDQ1819830

Michele Pavon

Publication date: 1986

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

zbMATH Keywords

variational principleNelson's integration by parts formula for semimartingalesOrnstein-Uhlenbeck position process

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Stochastic mechanics (including stochastic electrodynamics) (81P20)

Related Items (4)

Lagrangian dynamics for classical, Brownian, and quantum mechanical particles ⋮ Fast cooling for a system of stochastic oscillators ⋮ Stochastic control and nonequilibrium thermodynamical systems ⋮ Equilibrium description of a particle system in a heat bath

Cites Work

• Stochastic calculus of variations and mechanics
• On the Stochastic Realization Problem
• Optimal Control and Nonlinear Filtering for Nondegenerate Diffusion Processes
• Stochastic calculus of variations
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