Related papers: On the two-point function of the one-dimensional K…
In this article we consider the KPZ fixed point starting from a two-sided Brownian motion with an arbitrary diffusion coefficient. We apply the integration by parts formula from Malliavin calculus to establish a key relation between the…
We determine the stationary two-point correlation function of the one-dimensional KPZ equation through the scaling limit of a solvable microscopic model, the polynuclear growth model. The equivalence to a directed polymer problem with…
We study exact stationary properties of the one-dimensional Kardar-Parisi-Zhang (KPZ) equation by using the replica approach. The stationary state for the KPZ equation is realized by setting the initial condition the two-sided Brownian…
In this article, we give some existence and smoothness results for the law of the solution to a stochastic heat equation driven by a finite dimensional fractional Brownian motion with Hurst parameter $H>1/2$. Our results rely on recent…
For suitably discretized versions of the Kardar-Parisi-Zhang equation in one space dimension exact scaling functions are available, amongst them the stationary two-point function. We explain one central piece from the technology through…
The one-point distribution of the height for the continuum Kardar-Parisi-Zhang (KPZ) equation is determined numerically using the mapping to the directed polymer in a random potential at high temperature. Using an importance sampling…
We derive the KPZ equation as a continuum limit of height functions in asymmetric simple exclusion processes with drift that depends on the local particle configuration. To our knowledge, it is a first such result for a class of particle…
We consider the weakly asymmetric limit of simple exclusion process with drift to the left, starting from step Bernoulli initial data with $\rho_-<\rho_+$ so that macroscopically one has a rarefaction fan. We study the fluctuations of the…
Brownian motion is a continuum scaling limit for a wide class of random processes, and there has been great success in developing a theory for its properties (such as distribution functions or regularity) and expanding the breadth of its…
The one-point distribution of the height for the continuum Kardar-Parisi-Zhang (KPZ) equation is determined numerically using the mapping to the directed polymer in a random potential at high temperature. Using an importance sampling…
We obtain an exact result for the midpoint probability distribution function (pdf) of the stationary continuum directed polymer, when averaged over the disorder. It is obtained by relating that pdf to the linear response of the stochastic…
In this paper we derive tractable formulae for price sensitivities of two-dimensional spread options using Malliavin calculus. In particular, we consider spread options with asset dynamics driven by geometric Brownian motion and stochastic…
We consider the one-dimensional Kardar-Parisi-Zhang (KPZ) equation with half Brownian motion initial condition, studied previously through the weakly asymmetric simple exclusion process. We employ the replica Bethe ansatz and show that the…
We present a complete proof of the exact formula for the one-point distribution for the narrow-wedge Hopf-Cole solution to the Kardar-Parisi-Zhang (KPZ) equation. This presentation is intended to be self-contained so no previous knowledge…
Opposing to a (common) belief against the existence of a thermodynamic-like potential for the KPZ equation, here we present a derivation for such a functional. With its knowledge we prove some global shift invariance properties previously…
By means of the Malliavin calculus, integral representations for the likelihood function and for the derivative of the log-likelihood function are given for a model based on discrete time observations of the solution to equation…
We consider the Cole-Hopf solution of the (1+1)-dimensional KPZ equation started from the narrow wedge initial condition. In this article, we ask how the peaks and valleys of the KPZ height function (centered by time/24) at any spatial…
We compute the one-point probability distribution for the stationary KPZ equation (i.e. initial data H(0,X)=B(X), for B(X) a two-sided standard Brownian motion) and show that as time T goes to infinity, the fluctuations of the height…
Let H(t,x) be the Hopf-Cole solution at time t of the Kardar-Parisi-Zhang (KPZ) equation starting with narrow wedge initial condition, i.e. the logarithm of the solution of the multiplicative stochastic heat equation starting from a Dirac…
We study the adapted solution, numerical methods, and related convergence analysis for a unified backward stochastic partial differential equation (B-SPDE). The equation is vector-valued, whose drift and diffusion coefficients may involve…