Stochastic quantization approach to modeling of constrained Ito processes in discrete time (1905.01471v5)

Abstract: Stochastic quantization in physics has been considered to provide a path integral representation of a probability distribution for Ito processes. It has been indicated that the stochastic quantization can involve a potential term, if the Ito process is limited to Langevin equation. In this paper, in order to apply the stochastic quantization to engineering problems, we propose a novel method to incorporate a potential term into stochastic quantization of the general Ito process. This method indicates that weighted distribution gives rise to the potential term for the discrete-time path integral and preserves the role of the path integral as the probability distribution, without making any assumptions on the drift term. A second order approximation on the stochastic fluctuations for the path integral gives difference equations which represent the time evolution of expectation value and covariance matrix for the stochastic processes. The difference equations explicitly derive Extended Kalman Filter and models on the constrained Ito processes by the identification of the potential function with a penalty or barrier function. The numerical simulations of the constrained stochastic systems show that the potential term can constrain the nonlinear dynamics towards a minimum or a decreasing direction of the potential function.