Related papers: Feynman-Kac theorems for generalized diffusions
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…
This paper provides a theoretical framework of deriving the forward and backward Feynman-Kac equations for the distribution of functionals of the path of a particle undergoing both diffusion and chemical reaction. Very general forms of the…
In this paper, we provide an integral equation characterization of the solution to a Cauchy problem associated to the Feynman-Kac formula for a regime-switching diffusion. We give a sufficient condition to guarantee the uniqueness of…
We present a generalized integral fluctuation theorem (GIFT) for general diffusion processes using the Feynman-Kac and Cameron-Martin-Girsanov formulas. Existing IFTs can be thought of to be its specific cases. We interpret the origin of…
We establish a probabilistic representation for a wide class of linear deterministic p.d.e.s with potential term, including the wave equation in spatial dimensions 1 to 3. Our representation applies to the heat equation, where it is related…
A generalized Feynman-Kac formula based on the Wiener measure is presented. Within the setting of a quantum particle in an electromagnetic field it yields the standard Feynman-Kac formula for the corresponding Schr\"odinger semigroup. In…
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…
Stochastic diffusion equations are crucial for modeling a range of physical phenomena influenced by uncertainties. We introduce the generalized finite difference method for solving these equations. Then, we examine its consistency,…
The classical Feynman-Kac identity represents solutions of linear partial differential equations in terms of stochastic differential euqations. This representation has been generalized to nonlinear partial differential equations on the one…
We present a short overview of the recent results in the theory of diffusion and wave equations with generalised derivative operators. We give generic examples of such generalised diffusion and wave equations, which include time-fractional,…
The notions of generating sets of conservation laws of systems of differential equations with respect to symmetry groups and equivalence groups are introduced and applied. This allows us to generalize essentially the procedure of finding…
Generalized diffusion type equations are considered and point symmetry analysis is applied to them. The equations with extremal order point symmetry algebras are described. Some old geometrical results are rederived in connection with…
We solve two problems related to the fluctuations of time-integrated functionals of Markov diffusions, used in physics to model nonequilibrium systems. In the first we derive and illustrate the appropriate boundary conditions on the…
We will give some regularity results about fractional diffusion-wave equations.
We present a complete theory, which is a generalization of Bargmann's theory of factors for ray representations. We apply the theory to the generally covariant formulation of the Quantum Mechanics.
This work develops Feynman-Kac formulas for a class of regime-switching jump diffusion processes, in which the jump part is driven by a Poisson random measure associated to a general L\'evy process and the switching part depends on the jump…
We develop a rigorous framework for constructing Fock representations of quantum fields obeying generalized statistics associated with certain solutions of the spectral quantum Yang-Baxter equation. The main features of these…
By using the Zubarev nonequilibrium statistical operator method, and the Liouville equation with fractional derivatives, a generalized diffusion equation with fractional derivatives is obtained within the Renyi statistics. Averaging in…
Generalization of the Kac integral and Kac method for paths measure based on the Levy distribution has been used to derive fractional diffusion equation. Application to nonlinear fractional Ginzburg-Landau equation is discussed.
Self-similar solutions of the coherent diffusion equation are derived and measured. The set of real similarity solutions is generalized by the introduction of a nonuniform phase surface, based on the elegant Gaussian modes of optical…