Notebooks

## Path Integrals and Feynman Diagrams for Classical Stochastic Processes

11 Aug 2021 01:00

Yet Another Inadequate Placeholder

This feels like a topic which should be obvious to me, but isn't, and I want to wrap my head around it.

The parts I get: If we want to know the probability of a process with state space $\mathcal{X}$ moving from state $x$ at time $0$ to state $y$ at time $t$, I need $p(X(t) = y|X(0) = x)$. (Let's pretend everything has a density for now.) By the law of total probability I can insert as many intermediate times $0 < t_1 < t_2 < \ldots t_n < 1$ as I like, and $p(X(t)=y|X(0)=x) = \int_{\mathcal{X}^n}{p(X(t_1) = u_1, X(t_2) = u_2, \ldots X(t_n) = u_n, X(t) = y|X(0) = x) du_1 \ldots du_n}$ which by the definition of conditional probability will be $p(X(t)=y|X(0)=x) = \int_{\mathcal{X}^n}{\left(\prod_{i=1}^n{p(X(t_i) = u_i|X(0)=x, X(t_1) = u_1, \ldots X(t_{i-1}) = u_{i-1})}\right) du_{1:n}}$ with the understandings that $t_{n+1} = t$, $u_{n+1}=y$. If this is a Markov process, then earlier states become irrelevant when conditioning on later states, $p(X(t)=y|X(0)=x) = \int_{\mathcal{X}^n}{\left(\prod_{i=1}^n{p(X(t_i) = u_i| X(t_{i-1}) = u_{i-1})}\right) du_{1:n}}$ or $p(X(t)=y|X(0)=x) = \int_{\mathcal{X}^n}{\exp{\left(\sum_{i=1}^n{h(t_i, u_i| t_{i-1}, u_{i-1}))}\right)} du_{1:n}}$ introducing the function $h(t_i, u_i| t_{i-1}, u_{i-1}) \equiv \log{p(X(t_i) = u_i| X(t_{i-1}) = u_{i-1})}$. Assuming homogeneous transitions would then amount to assuming only the length of the interval $t_i - t_{i-1}$ matters, so we could (overloading the notation a bit) write this as $h(t_i, u_i| t_{i-1}, u_{i-1}) = h(u_i|u_{i-1}; t_{i} - t_{i-1})$. A continuous, time-homogeneous Markov process will have a generator $\mathbf{G}$, meaning that the transition operator over an interval $\Delta t$ will be of the form $e^{\Delta t \mathbf{G}}$. Taking $\Delta t$ small, the transition operator will be $\approx 1 + \Delta t \mathbf{G}$, and its log $\approx \Delta t \mathbf{G}$, which would let us write $h(u_i| u_{i-1}; \Delta t)$ in terms of the generator $\mathbf{G}$ (at the cost of more algebra than I want to write down just now). Passing non-rigorously to the limit, the sum inside the exponential will become an integral over time, and we should be able to write this over-all transition probability $p(X(t)=y|X(0)=x)$ as a sum over all paths or histories, $p(X(t)=y|X(0)=x) = \int_{u: t \mapsto \mathcal{X}, u(0) = x, u(t)=y}{\exp{\left( \int_{s=0}^{t}{L(s, u(s), \dot{u}(s), \ldots) ds}\right)} du}$ where again $L$ could be recovered from the generator if I was willing to do algebra. (The presence of derivatives of the path in $L$ comes from the fact that generators are [usually] differential operators.)

So what don't I understand?

1. Where the cumulant generating function fits in to all this. (One problem here might be that while I can and do use cumulants, I have no intuition about them at all.)
2. How to (in general) read off diagrammatic expansions from this.
3. What to do for non-Markov processes. (Wio, below, suggests coming up with Markovian approximations.)
More broadly, I want to understand how much of this structure I learned as a physicist really has anything to do with physics, and how much is just a generality about stochastic processes.