Related papers: Generalized Feynman-Kac Formula under volatility u…
In this work, we give a variation of parameters formula for nonautonomous linear impulsive differential equations with piecewise constant arguments of generalized type. We cover several cases of differential equations with deviated…
In this short paper, we study the simulation of a large system of stochastic processes subject to a common driving noise and fast mean-reverting stochastic volatilities. This model may be used to describe the firm values of a large pool of…
In this paper, a new global exponential stability criterion is obtained for a general multidimensional delay difference equation using induction arguments. In the cases that the difference equation is periodic, we prove the existence of a…
Given discrete time observations over a fixed time interval, we study a nonparametric Bayesian approach to estimation of the volatility coefficient of a stochastic differential equation. We postulate a histogram-type prior on the volatility…
In this paper we suggest a consistent approach to derivation of generalized Fokker-Planck equation (GFPE) for Gaussian non-Markovian processes with stationary increments. This approach allows us to construct the probability density function…
The fractional Feynman-Kac equations describe the distribution of functionals of non-Brownian motion, or anomalous diffusion, including two types called the forward and backward fractional Feynman-Kac equations, where the fractional…
The Vlasov-Fokker-Planck equation describes the evolution of the probability density of the position and velocity of particles under the influence of external confinement, interaction, friction, and stochastic force. It is well-known that…
Inspired by [Fehrman, Gess; Invent. Math., 2023] and [Fehrman, Gess; Arch. Ration. Mech. Anal., 2024], we consider the Dean-Kawasaki equation with singular interactions and correlated noise which can be viewed as fluctuating mean-field…
We propose a nonlinear forward Feynman-Kac type equation, which represents the solution of a non-conservative semilinear parabolic Partial Differential Equations (PDE). We show in particular existence and uniqueness. The solution of that…
In this paper we give some basic and important properties of several typical Banach spaces of functions of $G$-Brownian motion pathes induced by a sublinear expectation--G-expectation. Many results can be also applied to more general…
The causal perturbation theory is an axiomatic perturbative theory of the S-matrix. This formalism has as its essence the following axioms: causality, Lorentz invariance and asymptotic conditions. Any other property must be showed via the…
In this paper, we extend the G-expectation theory to infinite dimensions. Such notions as a covariation set of G-normal distributed random variables, viscosity solution, a stochastic integral driven by G-Brownian motion are introduced and…
This paper develops a Bayesian procedure for estimation and forecasting of the volatility of multivariate time series. The foundation of this work is the matrix-variate dynamic linear model, for the volatility of which we adopt a…
This work is a continuation of studies presented in the papers arXiv:0911.5597, arXiv:1003.4523. In the work it is demonstrated that with the use of one and the same parameter deformation may be described for several cases of the General…
We propose a form for the action of a relativistic particle subject to a positional force that is invariant under time reparametrization and therefore allows for a consistent Hamiltonian formulation of the dynamics. This approach can be…
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…
We generalize the hydrodynamic lattice gas model to include arbitrary numbers of particles moving in each lattice direction. For this generalization we derive the equilibrium distribution function and the hydrodynamic equations, including…
The generalized uncertainty principle has been described as a general consequence of incorporating a minimal length from a theory of quantum gravity. We consider a simple quantum mechanical model where the operator corresponding to position…
The nonequilibrium fluctuation theorems have paved the way for estimating equilibrium thermodynamic properties, such as free energy differences, using trajectories from driven nonequilibrium processes. While many statistical estimators may…
This paper studies finite-time stability and instability theorems in probability sense for stochastic nonlinear systems. Firstly, a new sufficient condition is proposed to guarantee that the considered system has a global solution.…