Study of stochastic differential equations by constructive methods. I
Journal Article
·
· Journal of Statistical Physics
- Universita di Roma La Sapienza (Italy)
- CNRS-URP, Palaiseau (France)
In this work we give an algorithm to express as a convergent series the stationary averages for a class of gradient perturbations of a nonsymmetric (nongradient) Ornstein-Uhlenbeck process. The method relies on a cluster expansion in time of the Girsanov-Cameron-Martin formula for the density of the perturbed measure with respect to the Ornstein-Uhlenbeck measure. In the second paper of this series, the approach is extended to more general perturbations.
- Sponsoring Organization:
- USDOE
- OSTI ID:
- 471802
- Journal Information:
- Journal of Statistical Physics, Journal Name: Journal of Statistical Physics Journal Issue: 5-6 Vol. 83; ISSN JSTPBS; ISSN 0022-4715
- Country of Publication:
- United States
- Language:
- English
Similar Records
The Pathwise Numerical Approximation of Stationary Solutions of Semilinear Stochastic Evolution Equations
Stochastic differential equations in duals of nuclear spaces with some applications. Technical report, 30 September 1985-30 September 1986
A unified view of hierarchy approach and formula of differentiation
Journal Article
·
Tue Nov 14 23:00:00 EST 2006
· Applied Mathematics and Optimization
·
OSTI ID:21064198
Stochastic differential equations in duals of nuclear spaces with some applications. Technical report, 30 September 1985-30 September 1986
Technical Report
·
Wed Oct 01 00:00:00 EDT 1986
·
OSTI ID:5669588
A unified view of hierarchy approach and formula of differentiation
Journal Article
·
Wed Oct 23 20:00:00 EDT 2019
· Journal of Chemical Physics
·
OSTI ID:1571839