Time-local gaussian processes, path integrals and nonequilibrium nonlinear diffusion

H. Dekker

Physica A: Statistical Mechanics and its Applications, 1976, vol. 85, issue 2, 363-373

Abstract: In this paper we discuss the concept of time-local gaussian processes. These are processes for which the state variable at time t + τ is gaussian distributed around its most probable value at that time, for a specified realization a small time interval τ earlier. On one hand it will be shown that these processes are related to a very simple path sum. On the other hand the associated stochastic differential equation is derived by means of the Kramers-Moyal method, and will be seen to be the most general nonlinear Fokker-Planck equation. The significance of the present formulation for nonequilibrium processes and the comprehension of critical phenomena will be evaluated.

Date: 1976
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:85:y:1976:i:2:p:363-373

DOI: 10.1016/0378-4371(76)90055-8

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