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Study of stochastic differential equations by constructive methods. I

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Abstract

In this work we give an algorithm to express as a convergent series the stationary averages for a class of gradient perturbations of a nonsymmetric (nongradient) Ornstein—Uhlenbeck process. The method relies on a cluster expansion in time of the Girsanov-Cameron-Martin formula for the density of the perturbed measure with respect to the Ornstein-Uhlenbeck measure. In the second paper of this series, the approach is extended to more general perturbations.

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Authors and Affiliations

  1. Dipartimento di Fisica, Universita di Roma La Sapienza, 00185, Rome, Italy

    G. Jona-Lasinio

  2. Centro Linceo Interdisciplinare, 00165, Rome, Italy

    G. Jona-Lasinio

  3. CNRS-URP 14, Centre de Physique Théorique, École Polytechnique, 91128, Palaiseau Cedex, France

    R. Sénéor

Authors
  1. G. Jona-Lasinio
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  2. R. Sénéor
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Jona-Lasinio, G., Sénéor, R. Study of stochastic differential equations by constructive methods. I. J Stat Phys 83, 1109–1148 (1996). https://doi.org/10.1007/BF02179554

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  • DOI: https://doi.org/10.1007/BF02179554

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