Related papers: A Path Integral Approach for Time-Dependent Hamilt…
Dimerized quantum spin systems may appear under several circumstances, e.g\ by a modulation of the antiferromagnetic exchange coupling in space, or in frustrated quantum antiferromagnets. In general, such systems display a quantum phase…
We present a novel perspective on the universal approximation theorem for rough path functionals, introducing a polynomial-based approximation class. We extend universal approximation to non-geometric rough paths within the tensor algebra.…
In this paper, we establish a probabilistic representation as well as some integration by parts formulae for the marginal law at a given time maturity of some stochastic volatility model with unbounded drift. Relying on a perturbation…
Many quantization schemes rely on analogs of classical mechanics where the connections with classical mechanics are indirect. In this work I propose a new and direct connection between classical mechanics and quantum mechanics where the…
In this article we consider the problem of pricing and hedging high-dimensional Asian basket options by Quasi-Monte Carlo simulation. We assume a Black-Scholes market with time-dependent volatilities and show how to compute the deltas by…
In this paper, we propose a novel numerical method for Path-Dependent Partial Differential Equations (PPDEs). These equations firstly appeared in the seminal work of Dupire [2009], where the functional It\^o calculus was developed to deal…
In financial mathematics, it is a typical approach to approximate financial markets operating in discrete time by continuous-time models such as the Black Scholes model. Fitting this model gives rise to difficulties due to the discrete…
{}From Feynman's path integral, we derive quasi-classical quantization rules in supersymmetric quantum mechanics (SUSY-QM). First, we derive a SUSY counterpart of Gutzwiller's formula, from which we obtain the quantization rule of Comtet,…
The path integral formulation in quantum mechanics corresponds to the first quantization since it is just to rewrite the quantum mechanical amplitude into many dimensional integrations over discretized coordinates $x_n$. However, the path…
This paper reviews and generalizes Feynman's path integration methods which use time slicing with straight line segments and Fourier sine series. The generalizations are done from variational calculus considerations and in one dimension for…
The pricing of financial derivatives, which requires massive calculations and close-to-real-time operations under many trading and arbitrage scenarios, were largely infeasible in the past. However, with the advancement of modern computing,…
In this work, we study the Quantum Field Theory version of the higher derivative Pais-Uhlenbeck oscillator. We quantize canonically this system and construct its Fock space, as well as study its path integral. We demonstrate that the…
In this work, we present a new approach to the construction of variational integrators. In the general case, the estimation of the action integral in a time interval $[q_k,q_{k+1}]$ is used to construct a symplectic map $(q_k,q_{k+1})\to…
Path integrals developed by Richard Feynman have been an important tool in Physics in studying quantum field theory. In mathematics, it has also been widely used in providing formal proofs in the study of Index theorem and asymptotic…
Path integral control solves a class of stochastic optimal control problems with a Monte Carlo (MC) method for an associated Hamilton-Jacobi-Bellman (HJB) equation. The MC approach avoids the need for a global grid of the domain of the HJB…
The connection between the canonical and the path integral formulations of Einstein's gravitational field is discussed using the Hamilton - Jacobi method. Unlike conventional methods, it is shown that our path integral method leads to…
Systems with singular higher order- Lagrangians are investigated by using the extended form of the canonical method. Besides, the canonical path integral formulation is generalized using the Hamilton- jacobi formulation to investigate…
In this paper, we argue that some of the most popular short-term interest models have to be revisited and modified to reflect current market conditions better. In particular, we propose a modification of the popular Black-Karasinski model,…
we will show the existence and uniqueness of a real-time, time-sliced Feynman path integral for quantum systems with vector potential. Our formulation of the path integral will be derived on the $L^2$ transition probability amplitude via…
Within a path integral formalism for non-Gaussian price fluctuations we set up a simple stochastic calculus and derive a natural martingale for option pricing from the wealth balance of options, stocks, and bonds. The resulting formula is…