Related papers: Generalized Feynman-Kac Formula under volatility u…
We examine effects of the Generalized Uncertainty Principle, predicted by various theories of quantum gravity to replace the Heisenberg's uncertainty principle near the Planck scale, on post inflation preheating in cosmology, and show that…
We describe an asymptotic procedure for deriving continuum equations from the kinetic theory of a simple gas. As in the works of Hilbert, of Chapman and of Enskog, we expand in the mean flight time of the constituent particles of the gas,…
We introduce a non-commutative generalization of the Gross-Pitaevskii equation for one-dimensional quantum gasses and quantum liquids. This generalization is obtained by applying the time-dependent variational principle to the variational…
An efficient discrete time and space Markov chain approximation employing a Brownian bridge correction for computing curvilinear boundary crossing probabilities for general diffusion processes was recently proposed in Liang and Borovkov…
We consider generalized time-fractional evolution equations of the form $$u(t)=u_0+\int_0^tk(t,s)Lu(s)ds$$ with a fairly general memory kernel $k$ and an operator $L$ being the generator of a strongly continuous semigroup. In particular,…
We study the dependence of volatility on the stock price in the stochastic volatility framework on the example of the Heston model. To be more specific, we consider the conditional expectation of variance (square of volatility) under fixed…
In this paper, we will propose the most general form of the deformation of Heisenberg algebra motivated by the generalized uncertainty principle. This deformation of the Heisenberg algebra will deform all quantum mechanical systems. The…
We study a class of backward doubly stochastic differential equations (BDSDEs) involving martingales with spatial parameters, and show that they provide probabilistic interpretations (Feynman-Kac formulae) for certain semilinear stochastic…
Solving the Fokker-Planck equation for high-dimensional complex dynamical systems remains a pivotal yet challenging task due to the intractability of analytical solutions and the limitations of traditional numerical methods. In this work,…
The Hamilton principle is a variation principle describing the isolated and conservative systems, its Lagrange function is the difference between kinetic energy and potential energy. By Feynman path integration, we can obtain the Hermitian…
In this paper we propose a notion of viscosity solutions for path dependent semi-linear parabolic PDEs. This can also be viewed as viscosity solutions of non-Markovian backward SDEs, and thus extends the well-known nonlinear Feynman-Kac…
In this paper we establish H\"older continuity estimates for viscosity solutions to first order Hamilton-Jacobi equations linked to linear control systems satisfying the Kalman rank condition. Our model Hamiltonians are non-convex in the…
Our object of study is the general class of stick-breaking processes with exchangeable length variables. These generalize well-known Bayesian non-parametric priors in an unexplored direction. We give conditions to assure the respective…
In this paper we examine the numerical approximation of the limiting invariant measure associated with Feynman-Kac formulae. These are expressed in a discrete time formulation and are associated with a Markov chain and a potential function.…
The Generalized Uncertainty Principle arises from the Heisenberg Uncertainty Principle when gravity is taken into account, so the leading order correction to the standard formula is expected to be proportional to the gravitational constant…
The thermodynamic uncertainty relation is a universal trade-off relation connecting the precision of a current with the average dissipation at large times. For continuous time Markov chains (also called Markov jump processes) this relation…
We present the path integral formulation of a broad class of generalized diffusion processes. Employing the path integral we derive exact expressions for the path probability densities and joint probability distributions for the class of…
In this paper, we propose the uncertain volatility models with stochastic bounds. Like the regular uncertain volatility models, we know only that the true model lies in a family of progressively measurable and bounded processes, but instead…
We present a recent work on the Dirac equation in a curved spacetime. In addition to the standard equation, two alternative versions are considered, derived from wave mechanics, and based on the tensor representation of the Dirac field. The…
This note is sketching a simple and natural mathematical construction for explaining the probabilistic nature of quantum mechanics. It employs nonstandard analysis and is based on Feynman's interpretation of the Heisenberg uncertainty…