Related papers: Feynman-Kac formula for the stochastic Bessel oper…
We consider a classical finite horizon optimal control problem for continuous-time pure jump Markov processes described by means of a rate transition measure depending on a control parameter and controlled by a feedback law. For this class…
Embedded random matrix ensembles are generic models for describing statistical properties of finite isolated quantum many-particle systems. For the simplest spinless fermion (or boson) systems with say $m$ fermions (or bosons) in $N$ single…
We design a theoretic tree-based functional representation of a class of Feynman-Kac particle distributions, including an extension of the Wick product formula to interacting particle systems. These weak expansions rely on an original…
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…
We consider a family of quantum spin systems which includes as special cases the ferromagnetic XY model and ferromagnetic Ising model on any graph, with or without a transverse magnetic field. We prove that the partition function of any…
Interacting particle methods are increasingly used to sample from complex and high-dimensional distributions. These stochastic particle integration techniques can be interpreted as an universal acceptance-rejection sequential particle…
Recently, Bazhanov and Sergeev have described an Ising-type integrable model which can be identified as a $\sinh$-Gordon-type model with an infinite number of states but with a real parameter $q$. This model is the subject of Sklyanin's…
By suitably extending a Feynman-Kac formula of Simon [Canadian Math. Soc. Conf. Proc, 28 (2000), 317-321], we study one-parameter semigroups generated by (the negative of) rather general Schroedinger operators, which may be unbounded from…
In this work, we propose a method for solving Kolmogorov hypoelliptic equations based on Fourier transform and Feynman-Kac formula. We first explain how the Feynman-Kac formula can be used to compute the fundamental solution to parabolic…
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…
In this paper, we present a novel Feynman-Kac formula and investigate learning-based methods for approximating general nonlinear time-dependent Schr\"odinger equations which may be high-dimensional. Our formulation integrates both the…
In this paper we derive new uniform convergence estimates for the V-cycle MGM applied to symmetric positive definite Toeplitz block tridiagonal matrices, by also discussing few connections with previous results. More concretely, the…
We analyze a stochastic optimal control problem, where the state process follows a McKean-Vlasov dynamics and the diffusion coefficient can be degenerate. We prove that its value function V admits a nonlinear Feynman-Kac representation in…
We propose a methodology to address two analysis problems concerning complex systems, namely bounding state functionals of stochastic differential equations (SDEs) and verifying set avoidance of systems described by partial differential…
The method of Feynman-Kac perturbation of quantum stochastic processes has a long pedigree, with the theory usually developed within the framework of processes on von Neumann algebras. In this work, the theory of operator spaces is…
Recently, a class of stochastic processes known as piecewise deterministic Markov processes has been used to define continuous-time Markov chain Monte Carlo algorithms with a number of attractive properties, including compatibility with…
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…
The Feynman--Hellmann approach to computing matrix elements in lattice QCD by first adding a perturbing operator to the action is described using the transition matrix and the Dyson expansion formalism. This perturbs the energies in the…
Near-optimal computational complexity of an adaptive stochastic Galerkin method with independently refined spatial meshes for elliptic partial differential equations is shown. The method takes advantage of multilevel structure in expansions…
Fractional calculus provides a rigorous mathematical framework to describe anomalous stochastic processes by generalizing the notion of classical differential equations to their fractional-order counterparts. By introducing the fractional…