Related papers: A Feynman-Kac approach for Logarithmic Sobolev Ine…
The classical Feynman-Kac identity builds a bridge between stochastic analysis and partial differential equations (PDEs) by providing stochastic representations for classical solutions of linear Kolmogorov PDEs. This opens the door for the…
The equivalence between logarithmic Sobolev inequalities and hypercontractivity of solutions of Hamilton-Jacobi equations has been proved in [5]. We consider a semi-Lagrangian approximation scheme for the Hamilton-Jacobi equation and we…
We prove logarithmic Sobolev inequality for measures $$ q^n(x^n)=\text{dist}(X^n)=\exp\bigl(-V(x^n)\bigr), \quad x^n\in \Bbb R^n, $$ under the assumptions that: (i) the conditional distributions $$ Q_i(\cdot| x_j, j\neq i)=\text{dist}(X_i|…
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 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…
In this article, we study the mean field limit of weakly interacting diffusions for confining and interaction potentials that are not necessarily convex. We explore the relationship between the large $N$ limit of the constant in the…
We develop fully noncommutative Feynman-Kac formulae by employing quantum stochastic processes. To this end we establish some theory for perturbing quantum stochastic flows on von Neumann algebras by multiplier cocycles. Multiplier cocycles…
We prove several Sobolev-type inequalities related to the $\bar\partial$-operator on bounded domains in $\mathbb{C}^n$, which can be viewed as a $\bar\partial$-version of the classical Sobolev inequality and its various generalizations, and…
We use the distances introduced in a previous joint paper to exhibit the gradient flow structure of some drift-diffusion equations for a wide class of entropy functionals. Functional inequalities obtained by the comparison of the entropy…
A comprehensive analysis of Sobolev-type inequalities for the Ornstein-Uhlenbeck operator in the Gauss space is offered. A unified approach is proposed, providing one with criteria for their validity in the class of rearrangement-invariant…
We prove a curvature-dimension criterion and obtain logarithmic Sobolev inequalities for generalised Cauchy measures with optimal weights and explicit constants. In the one-dimensional case, this constant is even optimal. From these…
We introduce a meta logarithmic-Sobolev (log-Sobolev) inequality for the Lindbladian of all single-mode phase-covariant Gaussian channels of bosonic quantum systems, and prove that this inequality is saturated by thermal states. We show…
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…
Discrete convex Sobolev inequalities and Beckner inequalities are derived for time-continuous Markov chains on finite state spaces. Beckner inequalities interpolate between the modified logarithmic Sobolev inequality and the Poincar\'e…
In this paper, we review recent results on stability and instability in logarithmic Sobolev inequalities, with a particular emphasis on strong norms. We consider several versions of these inequalities on the Euclidean space, for the…
We study the possibility of a gradual improvement as time progresses of the regularity of solutions to evolution problems of parabolic type driven by L\'evy-type operators, not necessarily translation invariant. In the course of our…
The Feynman-Kac formulae (FKF) express local solutions of partial differential equations (PDEs) as expectations with respect to some complementary stochastic differential equation (SDE). Repeatedly sampling paths from the complementary SDE…
Classically, the continuous-time Langevin diffusion converges exponentially fast to its stationary distribution $\pi$ under the sole assumption that $\pi$ satisfies a Poincar\'e inequality. Using this fact to provide guarantees for the…
This article establishes sufficient conditions for a linear-in-time bound on the non-asymptotic variance of particle approximations of time-homogeneous Feynman-Kac formulae. These formulae appear in a wide variety of applications including…
We consider the quantum mechanics of a charged particle in the presence of Dirac's magnetic monopole. Wave functions are sections of a complex line bundle and the magnetic potential is a connection on the bundle. We use a continuum…