The two-particle irreducible effective action for classical stochastic processes

Abstract

Abstract By combining the two-particle-irreducible (2PI) effective action common in non-equilibrium quantum field theory with the classical Martin–Siggia–Rose formalism, self-consistent equations of motion for the first and second cumulants of non-linear classical stochastic processes are constructed. Such dynamical equations for correlation and response functions are important in describing non-equilibrium systems, where equilibrium fluctuation–dissipation relations are unavailable. The method allows to evolve stochastic systems from arbitrary Gaussian initial conditions. In the non-linear case, it is found that the resulting integro-differential equations can be solved with considerably reduced computational effort compared to state-of-the-art stochastic Runge–Kutta methods. The details of the method are illustrated by several physical examples.