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Pré-Publication, Document De Travail Année : 2005

Plongement stochastique des systèmes lagrangiens

Résumé

We define an operator which extends classical differentiation from smooth deterministic functions to certain stochastic processes. Based on this operator, we define a procedure which associates a stochastic analog to standard differential operators and ordinary differential equations. We call this procedure stochastic embedding. By embedding lagrangian systems, we obtain a stochastic Euler-Lagrange equation which, in the case of natural lagrangian systems, is called the embedded Newton equation. This equation contains the stochastic Newton equation introduced by Nelson in his dynamical theory of brownian diffusions. Finally, we consider a diffusion with a gradient drift, a constant diffusion coefficient and having a probability density function. We prove that a necessary condition for this diffusion to solve the embedded Newton equation is that its density be the square of the modulus of a wave function solution of a linear Schrödinger equation.
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Dates et versions

hal-00012928 , version 1 (30-10-2005)

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Jacky Cresson, Sébastien Darses. Plongement stochastique des systèmes lagrangiens. 2005. ⟨hal-00012928⟩
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