Related papers: Path Integral and Asian Options
We define a deterministic integral with respect to irregular paths as a limit of standard line integrals and completely describe a class of all paths for which this integral exists for functions with H\"older exponent in the range of (0,1].…
The Feynman path integral for nonrelativistic quantum electrodynamics is studied mathematically of a standard model in physics, where the electromagnetic potential is assumed to be periodic with respect to a large box and quantized thorough…
We study the high-temperature behavior of quantum-mechanical path integrals. Starting from the Feynman-Kac formula, we derive a new functional representation of the Wigner-Kirkwood perturbation expansion for quantum Boltzmann densities. As…
We apply path integration techniques to obtain option pricing with stochastic volatility using a generalized Black-Scholes equation known as the Merton and Garman equation. We numerically simulate the option prices using the technique of…
Dyson's integration theorem is widely used in the computation of eigenvalue correlation functions in Random Matrix Theory. Here we focus on the variant of the theorem for determinants, relevant for the unitary ensembles with Dyson index…
We propose a natural, parameter-free, discrete-variable formulation of Feynman path integrals. We show that for discrete-variable quantum systems, Feynman path integrals take the form of walks on the graph whose weighted adjacency matrix is…
The path probability of a particle undergoing stochastic motion is studied by the use of functional technique, and the general formula is derived for the path probability distribution functional. The probability of finding paths inside a…
In the Feynman-Kac[1] path integral approach the eigenvalues of a quantum system can be computed using Wiener measure which uses Brownian particle motion. In our previous work[2-3] on such systems we have observed that the Wiener process…
We briefly review a hamiltonian path integral formalism developed earlier by one of us. An important feature of this formalism is that the path integral quantization in arbitrary co-ordinates is set up making use of only classical…
In this paper, we have constructed the Feynman path integral method for non-paraxial optics. This is done by using the mathematical analogy between a non-paraxial optical system and the generalized Schr\"odinger equation deformed by the…
New physical insight into the correspondence between path integral concepts and the Schr\"odinger formulation is gained by the analysis of the effective classical potential, that is defined within the Feynman path integral formulation of…
A Euclidean path integral is used to find an optimal strategy for a firm under a Walrasian system, Pareto optimality and a non-cooperative feedback Nash Equilibrium. We define dynamic optimal strategies and develop a Feynman type path…
We introduce and analyze a new quantity, the path integral ideal, governing the flow of generic discrete theories to the continuum limit and greatly increasing their convergence. The said flow is classified according to the degree of…
The algebraic approach to quantum mechanics has been vital to the development of quantum theory since its inception, and it has evolved into a mathematically rigorous $C^\ast$-algebraic formulation of the theory's axioms. Conversely, the…
Work belongs to the most basic notions in thermodynamics but it is not well understood in quantum systems, especially in open quantum systems. By introducing a novel concept of work functional along individual Feynman path, we invent a new…
Feynman's path integral is herein generalized to the nonextensive canonical density matrix based on Tsallis entropy. This generalization is done in two ways by using unnormalized and normalized constraints. Firstly, we consider the path…
Using the invariance of Quadratic Gravity in FLRW metric under the group of diffeomorphisms of the time coordinate, we rewrite the action $A$ of the theory in terms of the invariant dynamical variable $g(\tau)\,.$ We propose to consider the…
This paper is a continuation of the author's preceding one. In the preceding paper the author has rigorously constructed the Feynman path integral for the Dirac equation in the form of the sum-over-histories, satisfying the superposition…
Factorization of the (formal) path integral measure in a Wiener path integrals for Yang--Mills diffusion is studied. Using the nonlinear filtering stochastic differential equation, we perform the transformation of the path integral defined…
We propose a new approach based on the path integral formalism to the calculation of the probability distribution functions of quadratic quantities of the Gaussian polymer chain in d-dimensional space, such as the radius of gyration and…