Related papers: Continuous-Discrete Path Integral Filtering
Recently, the numerical schemes of the Fokker-Planck equations describing anomalous diffusion with two internal states have been proposed in [Nie, Sun and Deng, arXiv: 1811.04723], which use convolution quadrature to approximate the…
This paper provides a finite difference discretization for the backward Feynman-Kac equation, governing the distribution of functionals of the path for a particle undergoing both reaction and diffusion [Hou and Deng, J. Phys. A: Math.…
Over the last year significant progress was made in the understanding of the computation of Feynman integrals using differential equations. These lectures give a review of these developments, while not assuming any prior knowledge of the…
The exact solution of the Cauchy problem for a generalized "linear" vectorial Fokker-Planck equation is found using the disentangling techniques of R. Feynman and algebraic (operational) methods. This approach may be considered as a…
Complex (semi-)classical paths, or instantons, form an integral part of our understanding of quantum physics. Whereas real classical paths describe classically allowed transitions in the real-time Feynman path integral, classically…
We present the idea of intertwining of two diffusions by Feynman-Kac operators. We present some variations and implications of the method and give examples of its applications. Among others, it turns out to be a very useful tool for finding…
We associate a coupled nonlinear Fokker-Planck equation on $\R^d$, i.e. with solution paths in $\scr P$, to a linear Fokker-Planck equation for probability measures on the product space $\R^d\times \scr P$, i.e. with solution paths in $\scr…
We introduce the tools of intersection theory to the study of Feynman integrals, which allows for a new way of projecting integrals onto a basis. In order to illustrate this technique, we consider the Baikov representation of maximal cuts…
Given a discrete stochastic process, for example a chemical reaction system or a birth and death process, we often want to find a continuous stochastic approximation so that the techniques of stochastic differential equations may be brought…
The exit time probability, which gives the likelihood that an initial condition leaves a prescribed region of the phase space of a dynamical system at, or before, a given time, is arguably one of the most natural and important transport…
The connection between forward backward doubly stochastic differential equations and the optimal filtering problem is established without using the Zakai's equation. The solutions of forward backward doubly stochastic differential equations…
Our previous work on quantum mechanics in Hilbert spaces of finite dimensions N is applied to elucidate the deep meaning of Feynman's path integral pointed out by G. Svetlichny. He speculated that the secret of the Feynman path integral may…
Anomalous diffusions are ubiquitous in nature, whose functional distributions are governed by the backward Feynman-Kac equation. In this paper, the local discontinuous Galerkin (LDG) method is used to solve the 2D backward Feynman-Kac…
In this paper we introduce a new procedure on precise analysis of various physical manifestations in superconducting Qubits using the concept of Feynman path integral in quantum mechanics and quantum field theory. Three specific problem are…
We present a new stability and convergence analysis for the spatial discretization of a time-fractional Fokker--Planck equation in a convex polyhedral domain, using continuous, piecewise-linear, finite elements. The forcing may depend on…
The derivation of path integrals is reconsidered. It is shown that the expression for the discretized action is not unique, and the path integration domain can be deformed so that at least Gaussian path integrals become probabillistic. This…
Transverse magnetic (TM) scattering of an electromagnetic wave from a periodic dielectric diffraction grating can mathematically be described by a volume integral equation. This volume integral equation, however, in general fails to feature…
We propose a Deep-Picard iteration framework for high-dimensional nonlinear space-time fractional diffusion equations.The method is based on a nonlinear fractional Feynman--Kac fixed-point formulation, which replaces direct discretization…
In this work we consider a suitable generalization of the Feynman path integral on a specific class of Riemannian manifolds consisting of compact Lie groups with bi-invariant Riemannian metrics. The main tools we use are the Cartan…
We solve time-sliced path integrals of one-dimensional Coulomb system in an exact manner. In formulating path integrals, we make use of the Duru-Kleinert transformation with Fujikawa's gauge theoretical technique. Feynman kernels in the…