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The Wiener-Hermite expansions of the Langevin transitions

Hideo Nakajima
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Abstract

New partial differential equations for the Wiener-Hermite expansions of the Langevin (stochastic) transitions are formulated. They are solved recursively in full order series solutions with respect to $\sqrt{t}$. A sort of 'gauge' degrees of freedom (arbitrariness) involved in the solutions are analyzed and clarified. The Wiener-Hermite expansions play important roles as basic elements of numerical simulations of the Langevin equations. Specific solutions within some orders are presented as examples. These expansions giving integral representations of the Fokker-Planck evolution kernels, similar formulations are possible for the imaginary time Hamiltonian evolution kernels as well.

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Hideo Nakajima. 1997-03-21. The Wiener-Hermite expansions of the Langevin transitions. https://arxiv.org/abs/hep-lat/9703013

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