Master equations and the theory of stochastic path integrals

This review provides a pedagogic and self-contained introduction to master equations and to their representation by path integrals. Since the 1930s, master equations have served as a fundamental tool to understand the role of fluctuations in complex biological, chemical, and physical systems. Despite their simple appearance, analyses of master equations most often rely on low-noise approximations such as the Kramers-Moyal or the system size expansion, or require ad-hoc closure schemes for the derivation of low-order moment equations. We focus on numerical and analytical methods going beyond the low-noise limit and provide a unified framework for the study of master equations. After deriving the forward and backward master equations from the Chapman-Kolmogorov equation, we show how the two master equations can be cast into either of four linear partial differential equations (PDEs). Three of these PDEs are discussed in detail. The first PDE governs the time evolution of a generalized probability generating function whose basis depends on the stochastic process under consideration. Spectral methods, WKB approximations, and a variational approach have been proposed for the analysis of the PDE. The second PDE is novel and is obeyed by a distribution that is marginalized over an initial state. It proves useful for the computation of mean extinction times. The third PDE describes the time evolution of a 'generating functional', which generalizes the so-called Poisson representation. Subsequently, the solutions of the PDEs are expressed in terms of two path integrals: a 'forward' and a 'backward' path integral. Combined with inverse transformations, one obtains two distinct path integral representations of the conditional probability distribution solving the master equations. We exemplify both path integrals in analysing elementary chemical reactions. Moreover, we show how a well-known path integral representation of averaged observables can be recovered from them. Upon expanding the forward and the backward path integrals around stationary paths, we then discuss and extend a recent method for the computation of rare event probabilities. Besides, we also derive path integral representations for processes with continuous state spaces whose forward and backward master equations admit Kramers-Moyal expansions. A truncation of the backward expansion at the level of a diffusion approximation recovers a classic path integral representation of the (backward) Fokker-Planck equation. One can rewrite this path integral in terms of an Onsager-Machlup function and, for purely diffusive Brownian motion, it simplifies to the path integral of Wiener. To make this review accessible to a broad community, we have used the language of probability theory rather than quantum (field) theory and do not assume any knowledge of the latter. The probabilistic structures underpinning various technical concepts, such as coherent states, the Doi-shift, and normal-ordered observables, are thereby made explicit.