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11/03/2011

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THE MYSTERY OF STOCHASTIC MECHANICS
Edward NelsonDepartment of MathematicsPrinceton University1

Classical Hamilton-Jacobi theory
particles of various masses on a Euclideanspace.Incorporate the masses in the ﬂat Riemannianmetric
m
ij
, the
mass tensor
. Then if
v
i
is a veloc-ity,
v
i
=
m
ij
v
j
is a momentum.Kinetic energy:
12
v
i
v
i
.Potential energy:
.Lagrangian:
L
=
12
v
i
v
i
.Position at time
t
of the conﬁguration:
ξ
(
t
).Initial time:
t
.Final time:
t
1
.Hamilton’s principal function:
(
x,t
) =

t
1
t
L
ξ
(
s
)
ds.
Substantial derivative (derivative along trajec-tories):
D
=
∂ t
+
v
i
i
.
Then
DS
=
L.
2

Vector ﬁeld:
v
with
dt
=
v
.Principle of least action in Hamilton-Jacobitheory:
v
is a critical point for
, for unconstrainedvariations.That is, let
v
be another vector ﬁeld, let
δv
=
v
v
, and denote by a prime quantities with
v
replaced by
v
. Then
D
(
) =
D
DS
+ (
D
D
)
=
L
L
δv
i
i
=
L
L
δv
i
i
+ o(
δv
)
.
Now
L
L
=
v
i
δv
i
+ o(
δv
)
,
=

t
1
t
(
v
i
i
)
δv
i
ds
+ o(
δv
)
.
Since this is true for all variations, we have theHamilton-Jacobi condition:
v
i
=
i
S.
3