Corpus ID: 119598463

Stochastic differential equations with covariant probabilities

@article{Ryter2015StochasticDE,
  title={Stochastic differential equations with covariant probabilities},
  author={Dietrich Ryter},
  journal={arXiv: Statistical Mechanics},
  year={2015}
}
  • Dietrich Ryter
  • Published 2015
  • Physics, Mathematics
  • arXiv: Statistical Mechanics
  • Covariance of the resulting probabilities requires the "anti-Ito" sense. The corresponding Fokker-Planck equation is simplified and preserves important features of the case with a constant diffusion. Multiplicative noise can always be removed by a change of the variables, which is specified explicitly. 

    References

    The Fokker-Planck equation
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