Onsager-Machlup action functional for stochastic partial differential equations with Levy noise
Probability
2020-12-07 v2
Abstract
This work is devoted to deriving the Onsager-Machlup action functional for stochastic partial differential equations with (non-Gaussian) Levy process as well as Gaussian Brownian motion. This is achieved by applying the Girsanov transformation for probability measures and then by a path representation. This enables the investigation of the most probable transition path for infinite dimensional stochastic dynamical systems modeled by stochastic partial differential equations, by minimizing the Onsager-Machlup action functional.
Cite
@article{arxiv.2011.09690,
title = {Onsager-Machlup action functional for stochastic partial differential equations with Levy noise},
author = {Jianyu Hu and Jinqiao Duan},
journal= {arXiv preprint arXiv:2011.09690},
year = {2020}
}