Related papers: A Representation Theorem for Smooth Brownian Marti…
We discuss the relationships between some classical representations of the fractional Brownian motion, as a stochastic integral with respect to a standard Brownian motion, or as a series of functions with independent Gaussian coefficients.…
In this paper we study the time evolution of an observable in the interacting fermion systems driven out of equilibrium. We present a method for solving the Heisenberg equations of motion by constructing excitation operators which are…
Quantum brownian motion is a fundamental model for a proper understanding of open quantum systems in different contexts such as chemistry, condensed matter physics, bio-physics and opto- mechamics. In this paper we propose a novel approach…
In this work we propose an approach for implementing time-evolution of a quantum system using product formulas. The quantum algorithms we develop have provably better scaling (in terms of gate complexity and circuit depth) than a naive…
An intriguing question in martingale optimal transport is to characterize the martingale with prescribed initial and terminal marginals whose transition kernel is as Gaussian as possible. In this work we address an extension of this…
In this paper we study dynamic backward problems, with the computation of conditional expectations as a main objective, in a framework where the (forward) state process satisfies a Volterra type SDE, with fractional Brownian motion as a…
This paper develops the first class of algorithms that enable unbiased estimation of steady-state expectations for multidimensional reflected Brownian motion. In order to explain our ideas, we first consider the case of compound Poisson…
The time-ordered exponential representation of a complex time evolution operator in the interaction picture is studied. Using the complex time evolution, we prove the Gell-Mann -- Low formula under certain abstract conditions, in…
We introduce an elliptic extension of Dyson's Brownian motion model, which is a temporally inhomogeneous diffusion process of noncolliding particles defined on a circle. Using elliptic determinant evaluations related to the reduced affine…
The solutions of parabolic and hyperbolic stochastic partial differential equations (SPDEs) driven by an infinite dimensional Brownian motion, which is a martingale, are in general not semi-martingales any more and therefore do not satisfy…
We provide a general method for efficiently simulating time-dependent Hamiltonian dynamics on a circuit-model based quantum computer. Our approach is based on approximating the truncated Dyson series of the evolution operator, extending the…
I discuss a formula decomposing the integral of time-ordered products of operators into sums of products of integrals of time-ordered commutators. The resulting factorization enables summation of an infinite series to be carried out to…
This is an expository review paper illustrating the ``martingale method'' for proving many-server heavy-traffic stochastic-process limits for queueing models, supporting diffusion-process approximations. Careful treatment is given to an…
We prove that if a solution of the discrete time-dependent Schr\"odinger equation with bounded real potential decays fast at two distinct times then the solution is trivial. For the free Shr\"odinger operator and for operators with…
We present new exact expressions for a class of moments for the geometric Brownian motion, in terms of determinants, obtained using a recurrence relation and combinatorial arguments for the case of a Ito's Wiener process. We then apply the…
Given a random time, we characterize the set of martingales for which the stopping theorems still hold. We also investigate how the stopping theorems are modified when we consider arbitrary random times. To this end, we introduce some…
We propose \textit{DeepMartingale}, a deep-learning framework for the dual formulation of discrete-monitoring optimal stopping problems under continuous-time models. Leveraging a martingale representation, our method implements a…
A self-propelled motion resulting from the dissipation of camphor molecules on the water surface has been attracting scientific attention for more than 200 years. A generally accepted description of the phenomenon includes equations for the…
There is a widespread belief in the quantum physical community, and in textbooks used to teach Quantum Mechanics, that it is a difficult task to apply the time evolution operator Exp{-itH/h} on an initial wave function. That is to say,…
For a mixed stochastic differential driven by independent fractional Brownian motions and Wiener processes, the existence and integrability of the Malliavin derivative of its solution are established. It is also proved that the solution…