Ornstein-Uhlenbeck path integral and its application

Authors
Ezawa, H
Citation
H. Ezawa, Ornstein-Uhlenbeck path integral and its application, ACT APPL MA, 63(1-3), 2000, pp. 119-135
Citations number
6
Categorie Soggetti
Mathematics
Journal title
ACTA APPLICANDAE MATHEMATICAE
ISSN journal
01678019 → ACNP
Volume
63
Issue
1-3
Year of publication
2000
Pages
119 - 135
Database
ISI
SICI code
0167-8019(200009)63:1-3<119:OPIAIA>2.0.ZU;2-#
Abstract
Introducing a path integral for the Ornstein-Uhlenbeck process distorted by a potential V(x), we find out the T --> infinity limit of the probability distributions of X[omega]:=1/T-nu integral (T)(0) V(omega (t)) dt for Ornst ein-Uhlenbeck process omega (t), with appropriate values of the exponent nu that depend on V. The results are compared with those for the Wiener proce ss.