- Title Pages
- Preface
- Acknowledgments
- General References
- 1 Algebraic Preliminaries
- 2 Euclidean Path Integrals In Quantum Mechanics
- 3 Path Integrals In Quantum Mechanics: Generalizations
- 4 Stochastic Differential Equations: Langevin, Fokker–Planck Equations
- 5 Path And Functional Integrals In Quantum Statistical Physics
- 6 Quantum Evolution: From Particles To Fields
- 7 Quantum Field Theory: Functional Methods and Perturbation Theory
- 8 Relativistic Fermions
- 9 Quantum Field Theory: Divergences and Regularization
- 10 Introduction to Renormalization Theory. Renormalization Group Equations
- 11 Dimensional Regularization, Minimal Subtraction: RG Functions
- 12 Renormalization Of Composite Operators. Short Distance Expansion
- 13 Symmetries And Renormalization
- 14 The Non-Linear σ-Model: An Example Of a Non-Linear Symmetry
- 15 General Non-Linear Models In Two Dimensions
- 16 St And Brs Symmetries, Stochastic Field Equations
- 17 From Langevin Equation To Supersymmetry
- 18 Abelian Gauge Theories
- 19 Non-Abelian Gauge Theories: Introduction
- 20 The Standard Model. Anomalies
- 21 Gauge Theories: Master Equation And Renormalization
- 22 Classical And Quantum Gravity. Riemannian Manifolds And Tensors
- 23 Critical Phenomena: General Considerations
- 24 Mean Field Theory For Ferromagnetic Systems
- 25 General Renormalization Group. The Critical Theory Near Dimension Four
- 26 Scaling Behaviour In The Critical Domain
- 27 Corrections to Scaling Behaviour
- 28 Non-Magnetic Systems and The (φ<sup>2</sup>)<sup>2</sup> Field Theory
- 29 Calculation Of Universal Quantities
- 30 The <i>O</i>(<i>N</i>) Vector Model For <i>N</i> Large
- 31 Phase Transitions Near Two Dimensions
- 32 Two-Dimensional Models and Bosonization Method
- 33 The <i>O</i>(2) Classical Spin Model In Two Dimensions
- 34 Critical Properties Of Gauge Theories
- 35 Uv Fixed Points In Quantum Field Theory
- 36 Critical Dynamics
- 37 Field Theory in a Finite Geometry: Finite Size Scaling
- 38 Quantum Field Theory At Finite Temperature: Equilibrium Properties
- 39 Instantons In Quantum Mechanics
- 40 Unstable Vacua In Quantum Field Theory
- 41 Degenerate Classical Minima And Instantons
- 42 Perturbation Series At Large Orders. Summation Methods
- 43 Multi-Instantons In Quantum Mechanics
- Index

# Stochastic Differential Equations: Langevin, Fokker–Planck Equations

# Stochastic Differential Equations: Langevin, Fokker–Planck Equations

- Chapter:
- (p.60) 4 STOCHASTIC DIFFERENTIAL EQUATIONS: LANGEVIN, FOKKER–PLANCK EQUATIONS
- Source:
- Quantum Field Theory and Critical Phenomena
- Author(s):
### JEAN ZINN-JUSTIN

- Publisher:
- Oxford University Press

This chapter discusses Langevin equations, that is, stochastic differential equations related to diffusion processes, brownian motion, or random walk. From the Langevin equation, the Fokker–Planck (FP) equation for the probability distribution of the stochastic variables is derived. The FP equation has a form analogous to the equation for the statistical operator in a magnetic field studied in Section 3.2. The chapter shows that averaged observables can also be calculated from path integrals, whose integrands define automatically positive measures. In some cases, like brownian motion on Riemannian manifolds, difficulties appear in the precise definition of stochastic equations, quite similar to the quantization problem encountered in quantum mechanics. Time discretization provides a solution to the problem. This chapter is also meant to serve as an introduction to Chapters 17 and 36 in which stochastic quantization and critical dynamics are discussed.

*Keywords:*
Langevin equation, Fokker–Planck equations, path integrals, brownian motion, Riemannian manifolds

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- Title Pages
- Preface
- Acknowledgments
- General References
- 1 Algebraic Preliminaries
- 2 Euclidean Path Integrals In Quantum Mechanics
- 3 Path Integrals In Quantum Mechanics: Generalizations
- 4 Stochastic Differential Equations: Langevin, Fokker–Planck Equations
- 5 Path And Functional Integrals In Quantum Statistical Physics
- 6 Quantum Evolution: From Particles To Fields
- 7 Quantum Field Theory: Functional Methods and Perturbation Theory
- 8 Relativistic Fermions
- 9 Quantum Field Theory: Divergences and Regularization
- 10 Introduction to Renormalization Theory. Renormalization Group Equations
- 11 Dimensional Regularization, Minimal Subtraction: RG Functions
- 12 Renormalization Of Composite Operators. Short Distance Expansion
- 13 Symmetries And Renormalization
- 14 The Non-Linear σ-Model: An Example Of a Non-Linear Symmetry
- 15 General Non-Linear Models In Two Dimensions
- 16 St And Brs Symmetries, Stochastic Field Equations
- 17 From Langevin Equation To Supersymmetry
- 18 Abelian Gauge Theories
- 19 Non-Abelian Gauge Theories: Introduction
- 20 The Standard Model. Anomalies
- 21 Gauge Theories: Master Equation And Renormalization
- 22 Classical And Quantum Gravity. Riemannian Manifolds And Tensors
- 23 Critical Phenomena: General Considerations
- 24 Mean Field Theory For Ferromagnetic Systems
- 25 General Renormalization Group. The Critical Theory Near Dimension Four
- 26 Scaling Behaviour In The Critical Domain
- 27 Corrections to Scaling Behaviour
- 28 Non-Magnetic Systems and The (φ<sup>2</sup>)<sup>2</sup> Field Theory
- 29 Calculation Of Universal Quantities
- 30 The <i>O</i>(<i>N</i>) Vector Model For <i>N</i> Large
- 31 Phase Transitions Near Two Dimensions
- 32 Two-Dimensional Models and Bosonization Method
- 33 The <i>O</i>(2) Classical Spin Model In Two Dimensions
- 34 Critical Properties Of Gauge Theories
- 35 Uv Fixed Points In Quantum Field Theory
- 36 Critical Dynamics
- 37 Field Theory in a Finite Geometry: Finite Size Scaling
- 38 Quantum Field Theory At Finite Temperature: Equilibrium Properties
- 39 Instantons In Quantum Mechanics
- 40 Unstable Vacua In Quantum Field Theory
- 41 Degenerate Classical Minima And Instantons
- 42 Perturbation Series At Large Orders. Summation Methods
- 43 Multi-Instantons In Quantum Mechanics
- Index