Related papers: A Feynman-Kac based numerical method for the exit …
We investigate, by numerical simulation, the path probability of non dissipative mechanical systems undergoing stochastic motion. The aim is to search for the relationship between this probability and the usual mechanical action. The model…
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…
Stochastic mathematical models are essential tools for understanding and predicting complex phenomena. The purpose of this work is to study the exit times of a stochastic dynamical system-specifically, the mean exit time and the…
We consider stochastic differential equations driven by a general L\'evy processes (SDEs) with infinite activity and the related, via the Feynman-Kac formula, Dirichlet problem for parabolic integro-differential equation (PIDE). We…
This work presents a probabilistic scheme for solving semilinear nonlocal diffusion equations with volume constraints and integrable kernels. The nonlocal model of interest is defined by a time-dependent semilinear partial…
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…
We prove Feynman-Kac formulas for solutions to elliptic and parabolic boundary value and obstacle problems associated with a general Markov diffusion process. Our diffusion model covers several popular stochastic volatility models, such as…
In this paper, we present a novel Feynman-Kac formula and investigate learning-based methods for approximating general nonlinear time-dependent Schr\"odinger equations which may be high-dimensional. Our formulation integrates both the…
We propose an algorithm based on variational quantum imaginary time evolution for solving the Feynman-Kac partial differential equation resulting from a multidimensional system of stochastic differential equations. We utilize the…
Many transport processes in ecology, physics and biochemistry can be described by the average time to first find a site or exit a region, starting from an initial position. Typical mathematical treatments are based on formulations that…
We propose a new method for the numerical solution of the forward-backward stochastic differential equations (FBSDE) appearing in the Feynman-Kac representation of the value function in stochastic optimal control problems. Using Girsanov's…
We propose a new probabilistic numerical scheme for fully nonlinear equation of Hamilton-Jacobi-Bellman (HJB) type associated to stochastic control problem, which is based on the Feynman-Kac representation in [12] by means of control…
Runaway electrons (RE) generated during magnetic disruptions present a major threat to the safe operation of plasma nuclear fusion reactors. A critical aspect of understanding RE dynamics is to calculate the runaway probability, i.e., the…
Functionals of a stochastic process Y(t) model many physical time-extensive observables, e.g. particle positions, local and occupation times or accumulated mechanical work. When Y(t) is a normal diffusive process, their statistics are…
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…
A novel method is presented to compute the exit time for the stochastic simulation algorithm. The method is based on the addition of a series of random variables and is derived using the convolution theorem. The final distribution is…
In this paper, we introduce a natively positive approximation method based on the Feynman-Kac representation using random walks, to approximate the solution to the one-dimensional parabolic Anderson model of Skorokhod type, with either a…
Accurate prediction of rarefied gas flows is important for space vehicle design, particularly in rarefied regimes where the Navier-Stokes equations are no more valid. While the direct simulation Monte Carlo (DSMC) method acts as a numerical…
While accurate simulations of dense gas flows far from the equilibrium can be achieved by Direct Simulation adapted to the Enskog equation, the significant computational demand required for collisions appears as a major constraint. In order…
We present an approximate analytical expression for the escape rate of time-dependent driven stochastic processes with an absorbing boundary such as the driven leaky integrate-and-fire model for neural spiking. The novel approximation is…