**Author**: Horacio S Wio

**Publisher:**World Scientific

**ISBN:**9814449059

**Format:**PDF, ePub

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This book provides an introductory albeit solid presentation of path integration techniques as applied to the field of stochastic processes. The subject began with the work of Wiener during the 1920's, corresponding to a sum over random trajectories, anticipating by two decades Feynman's famous work on the path integral representation of quantum mechanics. However, the true trigger for the application of these techniques within nonequilibrium statistical mechanics and stochastic processes was the work of Onsager and Machlup in the early 1950's. The last quarter of the 20th century has witnessed a growing interest in this technique and its application in several branches of research, even outside physics (for instance, in economy). The aim of this book is to offer a brief but complete presentation of the path integral approach to stochastic processes. It could be used as an advanced textbook for graduate students and even ambitious undergraduates in physics. It describes how to apply these techniques for both Markov and non-Markov processes. The path expansion (or semiclassical approximation) is discussed and adapted to the stochastic context. Also, some examples of nonlinear transformations and some applications are discussed, as well as examples of rather unusual applications. An extensive bibliography is included. The book is detailed enough to capture the interest of the curious reader, and complete enough to provide a solid background to explore the research literature and start exploiting the learned material in real situations. Contents:Stochastic Processes: A Short TourThe Path Integral for a Markov Stochastic ProcessGeneralized Path Expansion Scheme ISpace-Time Transformation IGeneralized Path Expansion Scheme IISpace-Time Transformation IINon-Markov Processes: Colored Noise CaseNon-Markov Processes: Non-Gaussian CaseNon-Markov Processes: Nonlinear CasesFractional Diffusion ProcessFeynman–Kac Formula, the Influence FunctionalOther Diffusion-Like ProblemsWhat was Left Out Readership: Advanced undergraduate and graduate students, researchers interested in stochastic analysis and statistical physics. Keywords:Path Integrals;Wiener Integrals;Stochastic Processes;Brownian Motion;Fractional MotionsKey Features:Offers an introductory presentation of path integral techniques focused on the realm of stochastic processesPresents the application of these techniques to the analysis of non-Markov and/or non-Gaussian process, as well as fractional motions discussed only in specialized articles, presented in a clear and didactic wayMost useful to become acquainted with these stochastic techniques for its application in real situations