Related papers: Generalized Feynman-Kac Formula under volatility u…
This paper provides a theoretical framework of deriving the forward and backward Feynman-Kac equations for the distribution of functionals of the path of a particle undergoing both diffusion and chemical reaction. Very general forms of the…
This paper, is an attempt to extend the notion of stochastic viscosity solution to reflected semi-linear stochastic partial differential equations (RSPDEs, in short) with non-Lipschitz condition on the coefficients. Our method is fully…
Although having been developed for more than two decades, the theory of forward backward stochastic differential equations is still far from complete. In this paper, we take one step back and investigate the formulation of FBSDEs. Motivated…
In this paper, we pursue the study of second order BSDEs with jumps (2BSDEJs for short) started in our accompanying paper [15]. We prove existence of these equations by a direct method, thus providing complete wellposedness for 2BSDEJs.…
We present the idea of intertwining of two diffusions by Feynman-Kac operators. We present some variations and implications of the method and give examples of its applications. Among others, it turns out to be a very useful tool for finding…
We study time averages for the norm of solutions to kinetic Fokker--Planck equations associated with general Hamiltonians. We provide fully explicit and constructive decay estimates for systems subject to a confining potential, allowing…
We present a generalized integral fluctuation theorem (GIFT) for general diffusion processes using the Feynman-Kac and Cameron-Martin-Girsanov formulas. Existing IFTs can be thought of to be its specific cases. We interpret the origin of…
Generalizing ideas of MacKay, and MacKay and Saffman, a necessary condition for the presence of high-frequency ( i.e., not modulational) instabilities of small-amplitude periodic solutions of Hamiltonian partial differential equations is…
Based on the d'Alembert-Lagrange-Poincar\'{e} variational principle, we formulate general equations of motion for mechanical systems subject to nonlinear nonholonomic constraints, that do not involve Lagrangian undetermined multipliers. We…
The extended commutation relations for a generalized uncertainty principle have been based on the assumption of the minimal length in position. Instead of this assumption, we start with a constrained Hamiltonian system described by the…
The generalized uncertainty connection between the fluctuations of a quantum observable and its temporal derivative is derived in this study, we demonstrate that the product of an observable's uncertainties and its time derivative is…
This paper first studies super linear G-expectation. Uniqueness and existence theorem for backward stochastic differential equations (BSDEs) under super linear expectation is established to provide probabilistic interpretation for the…
In this article, given $y :[0,\eta)\rightarrow H$ a continuous map into a Hilbert space $H$ we study the equation \[\hat y(t) = e^{\int_0^tc(s,\hat y)}y(t)\] where $c(s,\cdot)$ is a given `potential' on $C([0,\eta),H)$. Applying the…
We establish the procedure to derive from an action-based variational principle the classical equations of motion in Hamiltonian phase space of a particle subject to general position and velocity dependent non-holonomic equality…
We consider an infinite horizon discounted optimal control problem for piecewise deterministic Markov processes, where a piecewise open-loop control acts continuously on the jump dynamics and on the deterministic flow. For this class of…
Very recently authors in [5] proposed a new Generalized Uncertainty Principle (or GUP) with a linear term in Plank length. In this Letter the effect of this GUP is studied in quantum cosmological models with dust and cosmic string as the…
We aim to analyze the consistency of the deformation of the Heisenberg algebra in the setting of constrained Hamiltonian systems, providing a procedure to induce the deformation on the Poisson algebra after symplectic reduction. We…
We propose a novel non-compact, positivity-preserving scheme for linear non-divergence form parabolic equations. Based on the Feynman-Kac formula, the solution is expressed as a conditional expectation of an associated diffusion process.…
A variational formula for the asymptotic variance of general Markov processes is obtained. As application, we get a upper bound of the mean exit time of reversible Markov processes, and some comparison theorems between the reversible and…
We present an algorithm for the numerical solution of nonlinear parabolic partial differential equations. This algorithm extends the classical Feynman-Kac formula to fully nonlinear partial differential equations, by using random trees that…