Novikov's theorem

Novikov’s theorem is a mathematical result used in the study of stochastic (random) processes, particularly in fields like physics and finance. It provides a way to evaluate the average (expected value) of a product involving a Gaussian (normal) random signal and a functional (a function of the entire signal). Essentially, it relates the expected value of this product to the expected value of the derivative of that functional with respect to the signal. This theorem simplifies complex calculations involving randomness by converting them into more manageable derivatives, helping researchers analyze systems influenced by noise or randomness more effectively.