Stochastic path integrals can be derived like quantum mechanical path integrals
John J. Vastola, William R. Holmes
Stochastic mechanics---the study of classical stochastic systems governed by things like master equations and Fokker-Planck equations---exhibits striking mathematical parallels to quantum mechanics. In this article, we make those parallels more transparent by presenting a quantum mechanics-like formalism for deriving a path integral description of systems described by stochastic differential equations. Our formalism expediently recovers the usual path integrals (the Martin-Siggia-Rose-Janssen-De Dominicis and Onsager-Machlup forms) and is flexible enough to account for different variable domains (e.g. real line versus compact interval), stochastic interpretations, arbitrary numbers of variables, explicit time-dependence, dimensionful control parameters, and more. We discuss the implications of our formalism for stochastic biology.
arXiv:1909.12990•Sep 28, 2019•10 citations