Related papers: A Path Integral Approach for Time-Dependent Hamilt…
Adapting ideas of Daubechies and Klauder [J. Math. Phys. {\bf 26} (1985) 2239] we derive a rigorous continuum path-integral formula for the semigroup generated by a spin Hamiltonian. More precisely, we use spin-coherent vectors parametrized…
Efforts to give an improved mathematical meaning to Feynman's path integral formulation of quantum mechanics started soon after its introduction and continue to this day. In the present paper, one common thread of development is followed…
Path integral techniques for the pricing of financial options are mostly based on models that can be recast in terms of a Fokker-Planck differential equation and that, consequently, neglect jumps and only describe drift and diffusion. We…
Fractional derivatives are nonlocal differential operators of real order that often appear in models of anomalous diffusion and a variety of nonlocal phenomena. Recently, a version of the Schr\"odinger Equation containing a fractional…
Discretizations of the Feynman-Kac path integral representation of the quantum mechanical density matrix are investigated. Each infinite-dimensional path integral is approximated by a Riemann integral over a finite-dimensional function…
This work addresses the quantization of a self-interacting higher order time derivative theory using path integrals. To quantize this system and avoid the problems of energy not bounded from below and states of negative norm, we observe the…
Travel time derivatives are financial instruments that derive their value from road travel times, serving as an underlying asset that cannot be directly traded. Within the transportation domain, these derivatives are proposed as a more…
Path integral Monte Carlo (PIMC) simulations have become an important tool for the investigation of the statistical mechanics of quantum systems. I discuss some of the history of applying the Monte Carlo method to non-relativistic quantum…
The derivation of path integrals is reconsidered. It is shown that the expression for the discretized action is not unique, and the path integration domain can be deformed so that at least Gaussian path integrals become probabillistic. This…
Using the Donsker-Prokhorov invariance principle we extend the Kim-Stoyanov-Rachev-Fabozzi option pricing model to allow for variably-spaced trading instances, an important consideration for short-sellers of options. Applying the…
We derive a local-time path-integral representation for a generic one-dimensional time-independent system. In particular, we show how to rephrase the matrix elements of the Bloch density matrix as a path integral over x-dependent local-time…
We introduce a new approach to highly correlated systems which generalizes the Fermi Hypernetted Chain and Correlated Basis Function techniques. While the latter approaches can only be applied to systems for which a nonrelativistic wave…
The electron motion along a chain is described by a continuum version of the Su-Schrieffer-Heeger Hamiltonian in which phonon fields and electronic coordinates are mapped onto the time scale. The path integral formalism allows us to derive…
A path integral reduction procedure in Wiener-type path integrals, based on the approach developed in arXiv:1912.13124, is applied to a simple invariant mechanical system defined on a product manifold with a given free, proper and isometric…
In perturbative calculations of quantum mechanical path integrals in curvilinear coordinates, Feynman diagrams involve multiple temporal integrals over products of distributions, which are mathematically undefined. We derive simple rules…
The Feynman path integral approach for computing equilibrium isotope effects and isotope fractionation corrects the approximations made in standard methods, although at significantly increased computational cost. We describe an accelerated…
We apply path integration techniques to obtain option pricing with stochastic volatility using a generalized Black-Scholes equation known as the Merton and Garman equation. We numerically simulate the option prices using the technique of…
In this paper new analytical and numerical approaches to valuating path-dependent options of European type have been developed. The model of stochastic volatility as a basic model has been chosen. For European options we could improve the…
This paper considers linear-quadratic control of a non-linear dynamical system subject to arbitrary cost. I show that for this class of stochastic control problems the non-linear Hamilton-Jacobi-Bellman equation can be transformed into a…
The overcompleteness of the coherent states basis leads to a multiplicity of representations of Feynman's path integral. These different representations, although equivalent quantum mechanically, lead to different semiclassical limits. Two…