Related papers: A Feynman-Kac-type formula for the deterministic a…
We provide a representation formula for viscosity solutions to a class of nonlinear second order parabolic PDE problem involving sublinear operators. This is done through a dynamic programming principle derived from [8]. The formula can be…
We consider the linear stochastic heat and wave equations with generalized Gaussian noise that is white in time and spatially correlated. Under the assumption that the homogeneous spatial correlation $f$ satisfies some mild conditions, we…
We derive the heat equation for the thermal energy under diffusive space-time scaling for a purely deterministic microscopic dynamics satisfying Newton equations perturbed by an external chaotic force acting like a magnetic field.
The price of a financial derivative can be expressed as an iterated conditional expectation, where the inner term conditions on the future of an auxiliary process. We show that this inner conditional expectation solves an SPDE (a…
We present a recent work on the Dirac equation in a curved spacetime. In addition to the standard equation, two alternative versions are considered, derived from wave mechanics, and based on the tensor representation of the Dirac field. The…
We express the probabilistic character associated to the wave function by treating it as a stochastic variable. This is accomplished by means of a stochastic equation for the wave function whose noise changes the phase of the wave function…
In this paper, we present a novel Feynman-Kac formula and investigate learning-based methods for approximating general nonlinear time-dependent Schr\"odinger equations which may be high-dimensional. Our formulation integrates both the…
We give the solution of certain parabolic evolution problems (time-depending perturbations of the heat equation for the harmonic oscillator) as explicit integrals on the Wiener space.
The Feynman-Kac equations are a type of partial differential equations describing the distribution of functionals of diffusive motion. The probability density function (PDF) of Brownian functionals satisfies the Feynman-Kac formula, being a…
We construct a Hamiltonian formulation for the class of plane-fronted gravitational waves with parallel rays (pp-waves). Because of the existence of a light-like Killing vector, the dynamics is effectively reduced to a 2+1 evolution with…
The traditional wave equation models wave propagation in an ideal conducting medium. For characterizing the wave propagation in inhomogeneous media with frequency dependent power-law attenuation, the space-time fractional wave equation…
In this paper, we present a fluctuation analysis of a type of parabolic equations with large, highly oscillatory, random potentials around the homogenization limit. With a Feynman-Kac representation, the Kipnis-Varadhan's method, and a…
Numerical methods for stochastic partial differential equations typically estimate moments of the solution from sampled paths. Instead, we shall directly target the deterministic equations satisfied by the first and second moments, as well…
We show that for a wide class of Gaussian random fields, points are polar in the critical dimension. Examples of such random fields include solutions of systems of linear stochastic partial differential equations with deterministic…
The problem of classical particle in linear potential is studied by using the formalism of Hilbert space and tomographic probability distribution. The Liouville equation for this problem is solved by finding the density matrix satisfying…
In this paper, we consider the composition of two independent processes : one process corresponds to position and the other one to time. Such processes will be called iterated processes. We first propose an algorithm based on the Euler…
In this article, we prove a Feynman-Kac type result for a broad class of second order ordinary differential equations. The classical Feynman-Kac theorem says that the solution to a broad class of second order parabolic equations is the mean…
The relativistic quantum equation is proposed for the complex wave function, which has the meaning of a probability amplitude. The Lagrangian formulation of the proposed theory is developed. The problem of spreading of a wave packet in an…
The vacuum-adapted formulation of quantum stochastic calculus is employed to perturb expectation semigroups via a Feynman-Kac formula. This gives an alternative perspective on the perturbation theory for quantum stochastic flows that has…
We study the stochastic solution to a Cauchy problem for a degenerate parabolic equation arising from option pricing. When the diffusion coefficient of the underlying price process is locally H\"older continuous with exponent $\delta\in (0,…