Path Integral Methods for SDEs

I’ve just uploaded a review paper to arXiv on the use of path integral and field theory methods for solving stochastic differential equations.   The paper can be obtained here.  Most books on field theory and path integrals are geared towards applications in particle physics or statistical mechanics.  This paper shows how you can adapt these methods to solving everyday problems in applied mathematics and theoretical biology.  The nice thing about it is that they form an organized way to do perturbative expansions and explicitly compute quantities like moments.  The paper was originally written for a special issue of the journal Methods that fell through.  Our goal is to collate the papers intended for that issue into a book, which will include an expanded version of this paper.


4 thoughts on “Path Integral Methods for SDEs

Leave a Reply

Fill in your details below or click an icon to log in: Logo

You are commenting using your account. Log Out / Change )

Twitter picture

You are commenting using your Twitter account. Log Out / Change )

Facebook photo

You are commenting using your Facebook account. Log Out / Change )

Google+ photo

You are commenting using your Google+ account. Log Out / Change )

Connecting to %s