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Update path-integrals-sdes-neuroscience.md
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chadHarper authored Nov 12, 2024
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where:

- $ P_i(t) $ is the probability of the system being in state $ i $ at time $ t $.
- $ R_{j \to i} $ is the transition rate from state $ j $ to state $ i $.
- $P_i(t)$ is the probability of the system being in state $ i $ at time $t$.
- $R_{j \to i}$ is the transition rate from state $ j $ to state $i$.

This equation captures the balance of probability flow between different states: the first term represents the inflow to state $ i $, while the second term represents the outflow from state $i $.
This equation captures the balance of probability flow between different states: the first term represents the inflow to state $i$, while the second term represents the outflow from state $i$.

To solve the master equation, one typically seeks:

- **Stationary distributions** where $ \frac{dP_i(t)}{dt} = 0 $ for all $ i $.
- **Stationary distributions** where $\frac{dP_i(t)}{dt} = 0$ for all $i$.
- **Time-dependent solutions** to understand transient dynamics, using methods like matrix exponentiation, generating functions, or numerical simulations.

Below, we describe the Differential Chapman-Kolmogorov equation (CKdE), which generalizes the master equation and encompasses the Fokker-Planck equation as a special case.
Expand All @@ -71,30 +71,30 @@ The CKdE describes the dynamics of a stochastic process over time. Here's an out

3. **Use the Chapman-Kolmogorov Equation**:

\[
$$
\frac{\partial p(\mathbf{x}, t)}{\partial t} = \lim_{\Delta t \to 0} \frac{1}{\Delta t} \int_{\Omega} \left[ p(\mathbf{x}, t+\Delta t | \mathbf{z}, t) p(\mathbf{z}, t) - p(\mathbf{z}, t+\Delta t | \mathbf{x}, t) p(\mathbf{x}, t) \right] d\mathbf{z}.
\]
$$

4. **Divide the Integration Region**:

Split the integration over \( \mathbf{z} \) into:
Split the integration over $\mathbf{z}$ into:

- **Continuous part** (\( \| \mathbf{x} - \mathbf{z} \| < \epsilon \)): corresponds to small changes.
- **Jump part** (\( \| \mathbf{x} - \mathbf{z} \| \geq \epsilon \)): corresponds to jumps or discontinuities.
- **Continuous part** ($\| \mathbf{x} - \mathbf{z} \| < \epsilon$): corresponds to small changes.
- **Jump part** ( $\| \mathbf{x} - \mathbf{z} \| \geq \epsilon$): corresponds to jumps or discontinuities.

Denote these contributions as \( R_1 \) and \( R_2 \), respectively.
Denote these contributions as $R_1$ and $R_2$, respectively.

5. **Expand the Continuous Part (\( R_1 \))**:
5. **Expand the Continuous Part ($R_1$ )**:

Use a Taylor series expansion around \( \mathbf{x} \) for small \( \mathbf{r} = \mathbf{z} - \mathbf{x} \):
Use a Taylor series expansion around $\mathbf{x}$ for small $\mathbf{r} = \mathbf{z} - \mathbf{x}$ :

\[
$$
R_1 \approx -\sum_i \frac{\partial}{\partial x_i} [A_i(\mathbf{x}, t) p(\mathbf{x}, t)] + \frac{1}{2} \sum_{i,j} \frac{\partial^2}{\partial x_i \partial x_j} [B_{ij}(\mathbf{x}, t) p(\mathbf{x}, t)],
\]
$$

where \( A_i(\mathbf{x}, t) \) is the drift vector and \( B_{ij}(\mathbf{x}, t) \) is the diffusion matrix.
where $A_i(\mathbf{x}, t) \) is the drift vector and \( B_{ij}(\mathbf{x}, t)$ is the diffusion matrix.

6. **Handle the Jump Part (\( R_2 \))**:
6. **Handle the Jump Part ( $R_2$)**:

For jumps, define the transition rate \( W(\mathbf{x} | \mathbf{z}, t) \).

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