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  2. Supersymmetric theory of stochastic dynamics - Wikipedia

    en.wikipedia.org/wiki/Supersymmetric_Theory_of...

    The first relation between supersymmetry and stochastic dynamics was established in two papers in 1979 and 1982 by Giorgio Parisi and Nicolas Sourlas, [1] [2] where Langevin SDEs -- SDEs with linear phase spaces, gradient flow vector fields, and additive noises -- were given supersymmetric representation with the help of the BRST gauge fixing procedure.

  3. Stochastic differential equation - Wikipedia

    en.wikipedia.org/wiki/Stochastic_differential...

    The most common form of SDEs in the literature is an ordinary differential equation with the right hand side perturbed by a term dependent on a white noise variable. In most cases, SDEs are understood as continuous time limit of the corresponding stochastic difference equations. This understanding of SDEs is ambiguous and must be complemented ...

  4. Schwinger–Dyson equation - Wikipedia

    en.wikipedia.org/wiki/Schwinger–Dyson_equation

    Freeman Dyson in 2005. The Schwinger–Dyson equations (SDEs) or Dyson–Schwinger equations, named after Julian Schwinger and Freeman Dyson, are general relations between correlation functions in quantum field theories (QFTs).

  5. Yamada–Watanabe theorem - Wikipedia

    en.wikipedia.org/wiki/Yamada–Watanabe_theorem

    For SDEs in Banach spaces there is a result from Martin Ondrejat (2004 [5]), one by Michael Röckner, Byron Schmuland and Xicheng Zhang (2008 [6]) and one by Stefan Tappe (2013 [7]). The converse of the theorem is also true and called the dual Yamada–Watanabe theorem .

  6. Backward stochastic differential equation - Wikipedia

    en.wikipedia.org/wiki/Backward_stochastic...

    Stochastic Differential Equations, Backward SDEs, Partial Differential Equations. Stochastic modeling and applied probability. Springer International Publishing Switzerland. Zhang, Jianfeng (2017). Backward stochastic differential equations. Probability theory and stochastic modeling. Springer New York, NY.

  7. Stratonovich integral - Wikipedia

    en.wikipedia.org/wiki/Stratonovich_integral

    In physics, however, stochastic integrals occur as the solutions of Langevin equations. A Langevin equation is a coarse-grained version of a more microscopic model ( Risken 1996 ); depending on the problem in consideration, Stratonovich or Itô interpretation or even more exotic interpretations such as the isothermal interpretation, are ...

  8. Euler–Maruyama method - Wikipedia

    en.wikipedia.org/wiki/Euler–Maruyama_method

    An area that has benefited significantly from SDEs is mathematical biology. As many biological processes are both stochastic and continuous in nature, numerical methods of solving SDEs are highly valuable in the field. The graphic depicts a stochastic differential equation solved using the Euler-Maruyama method.

  9. Stochastic partial differential equation - Wikipedia

    en.wikipedia.org/wiki/Stochastic_partial...

    One of the most studied SPDEs is the stochastic heat equation, [3] which may formally be written as = +, where is the Laplacian and denotes space-time white noise.Other examples also include stochastic versions of famous linear equations, such as the wave equation [4] and the Schrödinger equation.