Related papers: A Path Integral Approach for Time-Dependent Hamilt…
We derive a stochastic path integral representation of counting statistics in semi-classical systems. The formalism is introduced on the simple case of a single chaotic cavity with two quantum point contacts, and then further generalized to…
Feynman's Lagrangian path integral was an outgrowth of Dirac's vague surmise that Lagrangians have a role in quantum mechanics. Lagrangians implicitly incorporate Hamilton's first equation of motion, so their use contravenes the uncertainty…
Feynman's path integral approach is to sum over all possible spatio-temporal paths to reproduce the quantum wave function and the corresponding time evolution, which has enormous potential to reveal quantum processes in classical view.…
We prove the Ito-Tanaka formula and the existence of pathwise stochastic integrals for a wide class of Gaussian processes. Motivated by financial applications, we define the stochastic integrals as forward-type pathwise integrals introduced…
We develop the general integral transforms (GIT) method for pricing barrier options in the time-dependent Heston model (also with a time-dependent barrier) where the option price is represented in a semi-analytical form as a two-dimensional…
Consistent dynamics which couples classical and quantum degrees of freedom exists. This dynamics is linear in the hybrid state, completely positive and trace preserving. Starting from completely positive classical-quantum master equations,…
The path integral quantization method is applied to a relativistically covariant version of the Hopfield model, which represents a very interesting mesoscopic framework for the description of the interaction between quantum light and…
A fully regulated definition of Feynman's path integral is presented here. The proposed re-formulation of the path integral coincides with the familiar formulation whenever the path integral is well-defined. In particular, it is consistent…
We consider Feynman's path integral approach to quantum mechanics with a noncommutativity in position and momentum sectors of the phase space. We show that a quantum-mechanical system with this kind of noncommutativity is equivalent to the…
The worldline method is a powerful numerical path-integral framework for computing Casimir and Casimir-Polder energies. An important challenge arises when one desires derivatives of path-integral quantities--standard finite-difference…
We discuss two numerical methods, based on a path integral approach described in a previous paper (I), for solving the stochastic equations underlying the financial markets: the Monte Carlo approach, and the Green function deterministic…
In this paper we derive a efficient Monte Carlo approximation for the price of path-dependent derivatives under the multiscale stochastic volatility models of Fouque \textit{et al}. Using the formulation of this pricing problem under the…
Feynman's path integral formulation arose from his attempt to incorporate the Lagrangian framework into quantum mechanics, offering what he regarded as a more fundamental perspective than the Hamiltonian approach, particularly in the…
The Feynman path integral has revolutionized modern approaches to quantum physics. Although the path integral formalism has proven very successful and spawned several approximation schemes, the direct evaluation of real-time path integrals…
A path integral formalism for non-equilibrium systems is proposed based on a manifold of quasi-equilibrium densities. A generalized Boltzmann principle is used to weight manifold paths with the exponential of minus the information…
We introduce a model for the short-term dynamics of financial assets based on an application to finance of quantum gauge theory, developing ideas of Ilinski. We present a numerical algorithm for the computation of the probability…
We investigate whether it is possible to formulate option pricing and hedging models without using probability. We present a model that is consistent with two notions of volatility: a historical volatility consistent with statistical…
We propose a natural, parameter-free, discrete-variable formulation of Feynman path integrals. We show that for discrete-variable quantum systems, Feynman path integrals take the form of walks on the graph whose weighted adjacency matrix is…
Starting from the canonical formalism of relativistic (timeless) quantum mechanics, the formulation of timeless path integral is rigorously derived. The transition amplitude is reformulated as the sum, or functional integral, over all…
Feynman's path integral is herein generalized to the nonextensive canonical density matrix based on Tsallis entropy. This generalization is done in two ways by using unnormalized and normalized constraints. Firstly, we consider the path…