In the frame of the method of statistical ensembles, relaxation to thermodynamic equilibrium can be efficiently described by using stochastic differential equations. This scheme is intrinsically non-invariant with respect to time reversal. However, we can consider an additional dynamical variable, called the importance function, whose meaning and motivation arises from the neutron diffusion theory. The resulting scheme is now time reversal invariant, with a complete symplectic structure. The equations for the density and the importance function are Hamilton equations for a properly chosen Hamiltonian, and obey a stochastic variational principle. On the other hand, we can consider the formulation of quantum mechanics, according to the stochastic scheme devised by Edward Nelson. In this frame a stochastic variational principle can be easily introduced. The theory is intrinsically time reversal invariant. We have still a symplectic structure, and canonical Hamilton equations. Here the conjugated variables are the quantum mechanical probability density and the phase of the wave function. We give a synthetic description of the two schemes, by pointing out their structural similarity, and their deep physical difference.