Related papers: A Path Integral Approach for Time-Dependent Hamilt…
We present a new scheme which numerically evaluates the real-time path integral for $\phi^4$ real scalar field theory in a lattice version of the closed-time formalism. First step of the scheme is to rewrite the path integral in an…
We consider classical and quantum mechanics related to an additional noncommutativity, symmetric in position and momentum coordinates. We show that such mechanical system can be transformed to the corresponding one which allows employment…
We present a way for calculating the Lagrangian path integral measure directly from the Hamiltonian Schwinger--Dyson equations. The method agrees with the usual way of deriving the measure, however it may be applied to all theories, even…
The Hamiltonian counterpart of classical Lagrangian field theory is covariant Hamiltonian field theory where momenta correspond to derivatives of fields with respect to all world coordinates. In particular, classical Lagrangian and…
We derive a closed-form solution for the price of an average price as well as an average strike geometric Asian option, by making use of the path integral formulation. Our results are compared to a numerical Monte Carlo simulation. We also…
We revisit the path integral description of the motion of a relativistic electron. Applying a minor but well motivated conceptional change to Feynman's chessboard model, we obtain exact solutions of the Dirac equation. The calculation is…
We perform a thorough analysis of the relationship between discrete and series representation path integral methods, which are the main numerical techniques used in connection with the Feynman-Kac formula. First, a new interpretation of the…
The path integral formulation of quantum mechanics, i.e., the idea that the evolution of a quantum system is determined as a sum over all the possible trajectories that would take the system from the initial to its final state of its…
In this thesis, we develop path integral localization methods that are familiar from topological field theory: the integral over the infinite dimensional integration domain depends only on local data around some finite dimensional…
The LIBOR Market Model (LMM) is a widely used model for pricing interest rate derivatives. While the Black-Scholes model is well-known for pricing stock derivatives such as stock options, a larger portion of derivatives are based on…
This work extends the variance reduction method for the pricing of possibly path-dependent derivatives, which was developed in (Genin and Tankov, 2016) for exponential L\'evy models, to affine stochastic volatility models (Keller-Ressel,…
We formulate Bayesian updates in Markov processes by means of path integral techniques and derive the imaginary-time Schr\"{o}dinger equation with likelihood to direct the inference incorporated as a potential for the posterior probability…
The approximation of fixed points by numerical fixed points was presented in the elegant monograph of Krasnosel'skii et al. (1972). The theory, both in its formulation and implementation, requires a differential operator calculus, so that…
The semi-classical approximation to black hole partition functions is not well-defined, because the classical action is unbounded and the first variation of the uncorrected action does not vanish for all variations preserving the boundary…
We explore a new approach to the path integral for a latticized quantum theory. This talk is based on work with N. Khuri and H. Ren.
We extend the application of the Cherny-Shiryaev-Yor invariance principle to a unified Bachelier-Black-Scholes-Merton (BBSM) dynamic pricing model. This extension incorporates the influence of the history of the dynamics (i.e., the path…
We demonstrate how path integrals often used in problems of theoretical physics can be adapted to provide a machinery for performing Bayesian inference in function spaces. Such inference comes about naturally in the study of inverse…
The standard way to construct a path integral is to use a Legendre transformation to find the hamiltonian, to repeatedly insert complete sets of states into the time-evolution operator, and then to integrate over the momenta. This procedure…
Feynman's time-slicing construction approximates the path integral by a product, determined by a partition of a finite time interval, of approximate propagators. This paper formulates general conditions to impose on a short-time…
Feynman's path integral approach is studied in the framework of the Wigner-Dunkl deformation of quantum mechanics. We start with reviewing some basics from Dunkl theory and investigate the time evolution of a Gaussian wave packet, which…