Related papers: A Feynman-Kac result via Markov BSDEs with general…
This paper is concerned with the relationship between forward-backward stochastic Volterra integral equations (FBSVIEs, for short) and a system of (non-local in time) path dependent partial differential equations (PPDEs, for short). Due to…
In this paper we show several connections between special functions arising from generalized COM-Poisson-type statistical distributions and integro-differential equations with varying coefficients involving Hadamard-type operators. New…
We prove existence and uniqueness results for solutions to a class of optimal transportation problems with infinitely many marginals, supported on the real line. We also provide a characterization of the solution with an explicit formula.…
In this paper we show the existence and form uniqueness of a solution for multidimensional backward stochastic differential equations driven by a multidimensional L\'{e}vy process with moments of all orders. The results are important from a…
The paper deals with the initial value problem for linear systems of FDEs with variable coefficients involving Riemann--Liouville and Caputo derivatives. The technique of the generalized Peano--Baker series is used to obtain the…
Feynman integrals are easily solved if their system of differential equations is in $\varepsilon$-form. In this letter we show by the explicit example of the kite integral family that an $\varepsilon$-form can even be achieved, if the…
We consider the Cauchy problem for a pseudo-differential operator which has a translation-invariant and analytic symbol. For a certain set of initial conditions, a formal solution is obtained by a perturbative expansion. The series so…
The purpose of this paper is to investigate general mean-field backward stochastic differential equations (MFBSDEs) in multi-dimension with diagonally quadratic generators $f(\omega,t,y,z,\mu)$, that is, the coefficients depend not only on…
We consider a system of birational functional equations (BFEs) (or finite-difference equations at w=m \in Z) for functions y(w) of the form: y(w+1)=F_n(y(w)), y(w):C \to C^N, n=deg(F_n(y)), F_n \in (\bf Bir}(C^N), where the map F_n is a…
We prove a Feynman-Kac-type formula for the relative motion of the two-body delta-Bose gas in two dimensions. The multiplicative functional is not exponential, and the process is a skew-product diffusion uniquely extended in law, in the…
We consider backward stochastic differential equations (BSDEs) with mean-field and McKean-Vlasov interactions in their generators in a general setting, where the drivers are square-integrable martingales, with a focus on the independent…
Deep Feynman-Kac method was first introduced to solve parabolic partial differential equations(PDE) by Beck et al. (SISC, V.43, 2021), named Deep Splitting method since they trained the Neural Networks step by step in the time direction. In…
The Feynman integral is given a stochastic interpretation in the framework of Nelson's stochastic mechanics employing a time-symmetric variant of Nelson's kinematics recently developed by the author.
Fermionic Gaussian states have garnered considerable attention due to their intriguing properties, most notably Wick's theorem. Expanding upon the work of Balian and Brezin, who generalized properties of fermionic Gaussian operators and…
For general mean-field backward stochastic differential equations (BSDEs) it is well-known that we usually do not have the comparison theorem if the coefficients depend on the law of $Z$-component of the solution process $(Y, Z)$. A natural…
Deriving a comprehensive set of reduction rules for Feynman integrals has been a longstanding challenge. In this paper, we present a proposed solution to this problem utilizing generating functions of Feynman integrals. By establishing and…
First we show that physics-informed neural networks are not suitable for a large class of parabolic partial differential equations including the Fokker-Planck equation. Then we devise an algorithm to compute solutions of the Fokker-Planck…
In this paper, we study comparison theorem, nonlinear Feynman-Kac formula and Girsanov transformation of the BSDE driven by a G-Brownian motion.
We solve a class of BSDE with a power function $f(y) = y^q$, $q > 1$, driving its drift and with the terminal boundary condition $ \xi = \infty \cdot \mathbf{1}_{B(m,r)^c}$ (for which $q > 2$ is assumed) or $ \xi = \infty \cdot…
We show how to construct a complete set of lowering operators, whose successive application reduces an arbitrary Fenyman integral to a combination of master integrals. The construction builds systems of equations for generic integral…