Related papers: Generalized Feynman-Kac Formula under volatility u…
We introduce the Feynman-Kac formula within the deformation quantization program. Constructing on previous work it is shown that, upon a Wick rotation, the ground state energy of any prescribed physical system can be obtained from 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 show that the calculation of Berezin integrals over anticommuting variables can be reduced to the evaluation of expectations of functionals of Poisson processes via an appropriate Feynman-Kac formula. In this way the tools of ordinary…
We derive, through subordination techniques, a generalized Feynman-Kac equation in the form of a time fractional Schrodinger equation. We relate such equation to a functional which we name the subordinated local time. We demonstrate through…
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…
We construct a time-consistent sublinear expectation in the setting of volatility uncertainty. This mapping extends Peng's G-expectation by allowing the range of the volatility uncertainty to be stochastic. Our construction is purely…
We derive a non-linear version of the Feynman-Kac formula for the solutions of the vorticity equation in dimension 2 with space periodic boundary conditions. We prove the existence (global in time) and uniqueness for a stochastic terminal…
The goal of this paper is to study a nonlinear viscoelastic wave equation with strong damping, time-varying delay and dynamical boundary condition. By introducing suitable energy and Lyapunov functionals, under suitable assumptions, we then…
In this work we consider one-dimensional generalized affine processes under the paradigm of Knightian uncertainty (so-called non-linear generalized affine models). This extends and generalizes previous results in Fadina et al. (2019) and…
In this paper, a Feynman-Kac formula is established for stochastic partial differential equation driven by Gaussian noise which is, with respect to time, a fractional Brownian motion with Hurst parameter $H<1/2$. To establish such a…
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 {\alpha}-stable L\'evy process, commonly used to describe L\'evy flight, is characterized by discontinuous jumps and is widely used to model anomalous transport phenomena. In this study, we investigate the associated exit problem and…
A general formulation of noncommutative or quantum derivatives for operators in a Banach space is given on the basis of the Leibniz rule, irrespective of their explicit representations such as the G\^ateaux derivative or commutators. This…
A general formlulation for discrete-time quantum mechanics, based on Feynman's method in ordinary quantum mechanics, is presented. It is shown that the ambiguities present in ordinary quantum mechanics (due to noncommutativity of the…
G-expectation, as a sublinear expectation, provides a powerful framework for modeling uncertainty in financial markets. Motivated by the need for robust valuation under model uncertainty, this work develops a unified risk-neutral valuation…
In this work, we have obtained the solutions of the (1 + 1) dimensional Dirac equation on a gravitational background within the generalized uncertainty principle. We have shown that how minimal length parameters effect the Dirac particle in…
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…
A representation formula for solutions of stochastic partial differential equations with Dirichlet boundary conditions is proved. The scope of our setting is wide enough to cover the general situation when the backward characteristics that…
In this article we consider linear operators satisfying a generalized commutation relation of a type of the Heisenberg-Lie algebra. It is proven that a generalized inequality of the Hardy's uncertainty principle lemma follows. Its…
We prove a version of the Feynman-Kac formula for Levy processes and integro-differential operators, with application to the momentum representation of suitable quantum (Euclidean) systems whose Hamiltonians involve L\'{e}vy-type…