Related papers: Feynman-Kac particle integration with geometric in…
Feynman's path integral approach is studied in the framework of the Wigner-Dunkl deformation of quantum mechanics. We start with reviewing some basics from Dunkl theory and investigate the time evolution of a Gaussian wave packet, which…
The Feynman-Kac formula provides a way to understand solutions to elliptic partial differential equations in terms of expectations of continuous time Markov processes. This connection allows for the creation of numerical schemes for…
We study mean-field particle approximations of normalized Feynman-Kac semi-groups, usually called Fleming-Viot or Feynman-Kac particle systems. Assuming various large time stability properties of the semi-group uniformly in the initial…
In this paper, we exploit the gradient flow structure of continuous-time formulations of Bayesian inference in terms of their numerical time-stepping. We focus on two particular examples, namely, the continuous-time ensemble Kalman-Bucy…
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…
We propose an algorithm based on variational quantum imaginary time evolution for solving the Feynman-Kac partial differential equation resulting from a multidimensional system of stochastic differential equations. We utilize the…
Many complex structures and stochastic patterns emerge from simple kinetic rules and local interactions, and are governed by scale invariance properties in combination with effects of the global geometry. We consider systems that can be…
We design a particle interpretation of Feynman-Kac measures on path spaces based on a backward Markovian representation combined with a traditional mean field particle interpretation of the flow of their final time marginals. In contrast to…
Diffusion models produce impressive results in modalities ranging from images and video to protein design and text. However, generating samples with user-specified properties remains a challenge. Recent research proposes fine-tuning models…
Piecewise-deterministic Markov processes form a general class of non-diffusion stochastic models that involve both deterministic trajectories and random jumps at random times. In this paper, we state a new characterization of the jump rate…
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…
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…
Despite the widespread usage of discrete generation Ensemble Kalman particle filtering methodology to solve nonlinear and high dimensional filtering and inverse problems, little is known about their mathematical foundations. As genetic-type…
We expand on a recent study of a lattice model of interacting particles [Phys. Rev. Lett. 111, 110601 (2013)]. The adsorption isotherm and equilibrium fluctuations in particle number are discussed as a function of the interaction. Their…
We introduce an original model of quantum phenomena, a model that provides a picture of a "deep structure", an "underlying pattern" of quantum dynamics. We propose that the source of a particle and all of that particle's possible detectors…
We explore the connections between the theories of stochastic analysis and discrete quantum mechanical systems. Naturally these connections include the Feynman-Kac formula, and the Cameron-Martin-Girsanov theorem. More precisely, the notion…
We study finite particle systems on the one-dimensional integer lattice, where each particle performs a continuous-time nearest-neighbour random walk, with jump rates intrinsic to each particle, subject to an exclusion interaction which…
We perform a thorough analysis of the relationship between discrete and series representation path integral methods, which are the main numerical techniques used in connection with the Feynman-Kac formula. First, a new interpretation of the…
The challenge to fruitfully merge state-of-the-art techniques from mathematical finance and numerical analysis has inspired researchers to develop fast deterministic option pricing methods. As a result, highly efficient algorithms to…
We consider a general framework for multi-type interacting particle systems on graphs, where particles move one at a time by random walk steps, different types may have different speeds, and may interact, possibly randomly, when they meet.…