A Fokker–Plank equation of multiple variables corresponding to a system of SDE is considered. Solution for transition probability density is written in a form of path integral. It is shown that the proposed path integral brings a known result received by a different approach for Heston model. Differences of results based on path integral given in a number of papers were also pointed out.
An application of path integral method to Merton and Vasicek stochastic models of interest rate is considered. Two approaches to a path integral construction are shown. The first approach consists in using Wieners measure with the following substitution of solutions of stochastic equations into the models. The second approach is realised by using transformation from Wieners measure to the integral measure related to the stochastic variables of Merton and Vasicek equations. The introduction of boundary conditions is considered in the second approach in order to remove incorrect time asym