Path Integrals for Stochastic Processes

Author: Horacio S Wio
Publisher: World Scientific
ISBN: 9814449059
Format: PDF, ePub
Download Now
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

Path Integrals for Stochastic Processes

Author: Horacio S. Wio
Publisher: World Scientific
ISBN: 9814449040
Format: PDF, ePub, Mobi
Download Now
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.

Path Integrals for Stochastic Processes

Author: Horacio S. Wio
Publisher: World Scientific Publishing Company Incorporated
ISBN: 9789814447997
Format: PDF, Kindle
Download Now
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 process. 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.

Path Integrals in Physics

Author: M Chaichian
Publisher: CRC Press
ISBN: 9780750308014
Format: PDF, Kindle
Download Now
Path Integrals in Physics: Volume I, Stochastic Processes and Quantum Mechanics presents the fundamentals of path integrals, both the Wiener and Feynman type, and their many applications in physics. Accessible to a broad community of theoretical physicists, the book deals with systems possessing a infinite number of degrees in freedom. It discusses the general physical background and concepts of the path integral approach used, followed by a detailed presentation of the most typical and important applications as well as problems with either their solutions or hints how to solve them. It describes in detail various applications, including systems with Grassmann variables. Each chapter is self-contained and can be considered as an independent textbook. The book provides a comprehensive, detailed, and systematic account of the subject suitable for both students and experienced researchers.

Path Integral Approach to Quantum Physics

Author: Gert Roepstorff
Publisher: Springer Science & Business Media
ISBN: 3642578861
Format: PDF, ePub, Docs
Download Now
Specifically designed to introduce graduate students to the functional integration method in contemporary physics as painlessly as possible, the book concentrates on the conceptual problems inherent in the path integral formalism. Throughout, the striking interplay between stochastic processes, statistical physics and quantum mechanics comes to the fore, and all the methods of fundamental interest are generously illustrated by important physical examples.

Introduction to Stochastic Analysis

Author: Vigirdas Mackevicius
Publisher: John Wiley & Sons
ISBN: 1118603249
Format: PDF, Kindle
Download Now
This is an introduction to stochastic integration and stochastic differential equations written in an understandable way for a wide audience, from students of mathematics to practitioners in biology, chemistry, physics, and finances. The presentation is based on the naïve stochastic integration, rather than on abstract theories of measure and stochastic processes. The proofs are rather simple for practitioners and, at the same time, rather rigorous for mathematicians. Detailed application examples in natural sciences and finance are presented. Much attention is paid to simulation diffusion processes. The topics covered include Brownian motion; motivation of stochastic models with Brownian motion; Itô and Stratonovich stochastic integrals, Itô’s formula; stochastic differential equations (SDEs); solutions of SDEs as Markov processes; application examples in physical sciences and finance; simulation of solutions of SDEs (strong and weak approximations). Exercises with hints and/or solutions are also provided.

Path Integrals in Quantum Mechanics Statistics Polymer Physics and Financial Markets

Author: Hagen Kleinert
Publisher: World Scientific
ISBN: 9814273570
Format: PDF, ePub, Docs
Download Now
This is the fifth, expanded edition of the comprehensive textbook published in 1990 on the theory and applications of path integrals. It is the first book to explicitly solve path integrals of a wide variety of nontrivial quantum-mechanical systems, in particular the hydrogen atom. The solutions have been made possible by two major advances. The first is a new euclidean path integral formula which increases the restricted range of applicability of Feynman''s time-sliced formula to include singular attractive 1/r- and 1/r2-potentials. The second is a new nonholonomic mapping principle carrying physical laws in flat spacetime to spacetimes with curvature and torsion, which leads to time-sliced path integrals that are manifestly invariant under coordinate transformations. In addition to the time-sliced definition, the author gives a perturbative, coordinate-independent definition of path integrals, which makes them invariant under coordinate transformations. A consistent implementation of this property leads to an extension of the theory of generalized functions by defining uniquely products of distributions. The powerful Feynman-Kleinert variational approach is explained and developed systematically into a variational perturbation theory which, in contrast to ordinary perturbation theory, produces convergent results. The convergence is uniform from weak to strong couplings, opening a way to precise evaluations of analytically unsolvable path integrals in the strong-coupling regime where they describe critical phenomena. Tunneling processes are treated in detail, with applications to the lifetimes of supercurrents, the stability of metastable thermodynamic phases, and the large-order behavior of perturbation expansions. A variational treatment extends the range of validity to small barriers. A corresponding extension of the large-order perturbation theory now also applies to small orders. Special attention is devoted to path integrals with topological restrictions needed to understand the statistical properties of elementary particles and the entanglement phenomena in polymer physics and biophysics. The ChernoOe1/4OC Simons theory of particles with fractional statistics (anyons) is introduced and applied to explain the fractional quantum Hall effect. The relevance of path integrals to financial markets is discussed, and improvements of the famous BlackoOe1/4OC Scholes formula for option prices are developed which account for the fact, recently experienced in the world markets, that large fluctuations occur much more frequently than in Gaussian distributions."

An Introduction to Stochastic Processes in Physics

Author: Don S. Lemons
Publisher: JHU Press
ISBN: 9780801868672
Format: PDF, Docs
Download Now
"Students will love this book. It tells them without fuss how to do simple and useful numerical calculations, with just enough background to understand what they are doing... a refreshingly brief and unconvoluted work." -- American Journal of Physics