期刊
ANNALS OF APPLIED PROBABILITY
卷 21, 期 2, 页码 669-698出版社
INST MATHEMATICAL STATISTICS
DOI: 10.1214/10-AAP708
关键词
Stochastic partial differential equations; fourth-order SPDEs; hypoelliptic diffusions; conditioned stochastic ordinary differential equations
资金
- EPSRC [EP/E002269/1]
- ERC
- EPSRC [EP/F050798/1, EP/E002269/1] Funding Source: UKRI
- Engineering and Physical Sciences Research Council [EP/F050798/1, EP/E002269/1] Funding Source: researchfish
A series of recent articles introduced a method to construct stochastic partial differential equations (SPDEs) which are invariant with respect to the distribution of a given conditioned diffusion. These works are restricted to the case of elliptic diffusions where the drift has a gradient structure and the resulting SPDE is of second-order parabolic type. The present article extends this methodology to allow the construction of SPDEs which are invariant with respect to the distribution of a class of hypoelliptic diffusion processes, subject to a bridge conditioning, leading to SPDEs which are of fourth-order parabolic type. This allows the treatment of more realistic physical models, for example, one can use the resulting SPDE to study transitions between meta-stable states in mechanical systems with friction and noise. In this situation the restriction of the drift being a gradient can also be lifted.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据