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A Gaussian Approximation for Stochastic Nonlinear Dynamical Processes with Annihilation
Published on Feb 25, 20075366 Views
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Chapter list
A Gaussian approximation for stochastic non-linear<br> dynamical processes with annihilation00:00
Contents00:21
Stochastic optimal control problem02:05
Hamilton-Jacobi-Bellman equation03:47
Log transformation and optimal control05:21
Fokker-Planck with decay06:37
A stochastic dynamical process with annihilation08:40
Relation with discrete time Kalman smoothing10:28
The transition density12:35
Path integral formulation13:42
Euler-Lagrange equations15:16
Euler-Lagrange equations0116:09
A formal forward-backward algorithm17:18
Numerical example18:15
Relation with classical mechanics (b = 0)18:47
Size of fluctuations: linear noise approximation20:42
Numerical example22:01
Partition function22:31
Partition function: numerical result23:27
Summary24:04
Discussion24:37