Geodesic
Kac--Siegert formula for oscillatory random processes
Itogi nauki i tehniki. Sovremennaâ matematika i eë priloženiâ. Tematičeskie obzory, Differential Equations and Mathematical Physics, Tome 225 (2023), pp. 38-58

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A general scheme for calculating the characteristic functions of random variables represented by quadratic functionals of the trajectories of elementary Gaussian processes based on the Feynman—Kac method is described. This scheme is applied to the oscillatory random process $\langle{\tilde x}(t)$, $t \in {\Bbb R}\rangle$. The characteristic function $Q(-i\lambda,t)$ of the random variable $\mathsf{J}_t[{\tilde x}(s)]=\int_0^t (d {\tilde x}(s)/ds )^2 ds$ of its random trajectories ${\tilde x}(t)$ is calculated.
Keywords: oscillatory random process, white noise, Kolmogorov equation, characteristic function.
Mots-clés : matrix Riccati equation 
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     author = {Yu. P. Virchenko and A. S. Mazmanishvili},
     title = {Kac--Siegert formula for oscillatory random processes},
     journal = {Itogi nauki i tehniki. Sovremenna\^a matematika i e\"e prilo\v{z}eni\^a. Temati\v{c}eskie obzory},
     pages = {38--58},
     publisher = {mathdoc},
     volume = {225},
     year = {2023},
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Yu. P. Virchenko; A. S. Mazmanishvili. Kac--Siegert formula for oscillatory random processes. Itogi nauki i tehniki. Sovremennaâ matematika i eë priloženiâ. Tematičeskie obzory, Differential Equations and Mathematical Physics, Tome 225 (2023), pp. 38-58. http://geodesic.mathdoc.fr/item/INTO_2023_225_a3/