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New applications of Wiener integrals to engineering and physics

Abstract

It is shown that the solutions to quite general problems in nonequilibrium statistical physics and engineering can be expressed as Wiener integrals. A new way is also given for numerically evaluating these Wiener integrals.

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This is a rewritten version of Research Report RC 68-1, General Precision Systems, Inc., Little Falls, New Jersey

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Schilder, M. New applications of Wiener integrals to engineering and physics. J Stat Phys 1, 475–516 (1969). https://doi.org/10.1007/BF01106582

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  • DOI: https://doi.org/10.1007/BF01106582

Key words

  • Wiener integrals
  • diffusion processes
  • function space integrals
  • stochastic optimal control
  • Kalman filtering
  • Langevin equation
  • stochastic Hamilton-Jacobi equation
  • Fokker-Planck equation