Related papers: On the Feynman-Kac Formula
Adapting ideas of Daubechies and Klauder we derive a continuum path-integral formula for the time evolution generated by a spin Hamiltonian. For this purpose we identify the finite-dimensional spin Hilbert space with the ground-state…
The Fourier coefficients F(t) of a function f on a compact symmetric space U/K are given by integration of f against matrix coefficients of irreducible representations of U. The coefficients depend on a spectral parameter t, which…
We propose a new solvable class of multidimensional quantum harmonic oscillators for a linear diffusive particle and a quadratic energy absorbing well associated with a semi-definite positive matrix force. Under natural and easily checked…
In this paper we obtain a Feynman-Kac formula for the solution of a fractional stochastic heat equation driven by fractional noise. One of the main difficulties is to show the exponential integrability of some singular nonlinear functionals…
In this paper, we establish a version of the Feynman-Kac formula for multidimensional stochastic heat equation driven by a general semimartingale. This Feynman-Kac formula is then applied to study some nonlinear stochastic heat equations…
It is well-known since the work of Pardoux and Peng [12] that Backward Stochastic Differential Equations provide probabilistic formulae for the solution of (systems of) second order elliptic and parabolic equations, thus providing an…
We aim to provide a Feynman-Kac type representation for Hamilton-Jacobi-Bellman equation, in terms of forward backward stochastic differential equation (FBSDE) with a simulatable forward process. For this purpose, we introduce a class of…
A parabolic partial differential equation $u'_t(t,x)=Lu(t,x)$ is considered, where $L$ is a linear second-order differential operator with time-independent coefficients, which may depend on $x$. We assume that the spatial coordinate $x$…
Motivated by entropic optimal transport, we investigate an extended notion of solution to the parabolic equation $( \partial_t + b\cdot \nabla + \Delta _{ a}/2 +V)g =0$ with a final boundary condition. It is well-known that the viscosity…
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…
In this paper we investigate BSDEs where the driver contains a distributional term (in the sense of generalised functions) and derive general Feynman-Kac formulae related to these BSDEs. We introduce an integral operator to give sense to…
Discretizations of the Feynman-Kac path integral representation of the quantum mechanical density matrix are investigated. Each infinite-dimensional path integral is approximated by a Riemann integral over a finite-dimensional function…
In this paper we provide a generalization of a Feynmac-Kac formula under volatility uncertainty in presence of a linear term in the PDE due to discounting. We state our result under different hypothesis with respect to the derivation given…
We determine the solution of the fractional spatial diffusion equation in n-dimensional Euclidean space for a "free" particle by computing the corresponding propagator. We employ both the Hamiltonian and Lagrangian approaches which produce…
The Dirac equation has been studied in which the Dirac matrices $\hat{\boldmath$\alpha$}, \hat\beta$ have space factors, respectively $f$ and $f_1$, dependent on the particle's space coordinates. The $f$ function deforms Heisenberg algebra…
In the Feynman-Kac[1] path integral approach the eigenvalues of a quantum system can be computed using Wiener measure which uses Brownian particle motion. In our previous work[2-3] on such systems we have observed that the Wiener process…
We prove Feynman-Kac formulas for solutions to elliptic and parabolic boundary value and obstacle problems associated with a general Markov diffusion process. Our diffusion model covers several popular stochastic volatility models, such as…
Based on the Lie symmetry method, we investigate a Feynman-Kac formula for the classical geometric mean reversion process, which effectively describing the dynamics of short-term interest rates. The Lie algebra of infinitesimal symmetries…
A new integrable model which is a variant of the one-dimensional Hubbard model is proposed. The integrability of the model is verified by presenting the associated quantum R-matrix which satisfies the Yang-Baxter equation. We argue that the…
The paper is devoted to study the inversion of the integral transform $$(\mbox{\boldmath$H$}f)(x)=\int^\infty_0H^{m,n}_{\thinspace p,q} \left[xt\left|\begin{array}{c}(a_i,\alpha_i)_{1,p}\\[1mm](b_j,\beta_j)_{1,q}…