Related papers: A Path Integral Approach for Time-Dependent Hamilt…
Based on the Sum-over-Paths approach of Richard Feynman, an integration method for calculating wave phase vectors is derived. The diffraction and interference patterns of various slit masks can be calculated from such phase vectors. The…
In this paper we present a simple, but new, approximation methodology for pricing a call option in a Black \& Scholes market characterized by stochastic interest rates. The method, based on a straightforward Gaussian moment matching…
Feynman's path integral is generalized to quantum mechanics on p-adic space and time. Such p-adic path integral is analytically evaluated for quadratic Lagrangians. Obtained result has the same form as that one in ordinary quantum…
A kink-based expression for the canonical partition function is developed using Feynman's path integral formulation of quantum mechanics and a discrete basis set. The approach is exact for a complete set of states. The method is tested on…
A new representation of the exact time dependent solution of the discrete master equation is derived. This representation can be considered as contraction of the path integral solution of Haken. It allows the calculation of the probability…
A discrete formulation of the real-time path integral as the expectation value of a functional of paths with respect to a complex probability on a sample space of discrete valued paths is explored. The formulation in terms of complex…
Input-output theory is a well-known tool in quantum optics and ubiquitous in the description of quantum systems probed by light. Owing to the generality of the setup it describes, the theory finds application in a wide variety of…
Functional It^o calculus is based on an extension of the classical It^o calculus to functionals depending on the entire past evolution of the underlying paths and not only on its current value. The calculus builds on Follmer's…
Path integral derivations are presented for two recently developed complex trajectory techniques for the propagation of wave packets, Complex WKB and BOMCA. Complex WKB is derived using a standard saddle point approximation of the path…
We introduce configuration space path integrals for quantum fields interacting with classical fields. We show that this can be done consistently by proving that the dynamics are completely positive directly, without resorting to master…
Invited talk given at the ``International Workshop on `Symmetry Methods in Physics' in memory of Ya.\ A.\ Smorodinsky, 5--10 July 1993, Dubna, Russia; to appear in the proceedings. In this contribution I present further results on steps…
We consider the pricing problem related to payoffs that can have discontinuities of polynomial growth. The asset price dynamic is modeled within the Black and Scholes framework characterized by a stochastic volatility term driven by a…
In the context of quasi-Hermitian theories, which are non-Hermitian in the conventional sense, but can be made Hermitian by the introduction of a dynamically-determined metric $\eta$, we address the problem of how the functional integral…
Complex (semi-)classical paths, or instantons, form an integral part of our understanding of quantum physics. Whereas real classical paths describe classically allowed transitions in the real-time Feynman path integral, classically…
One usually refers the concept of Feynman path integral to the work of Norbert Wiener on Brownian motion in the early 1920s. This view is not false and we show in this article that Wiener used the first path integral of the history of…
We introduce a new method to price American options based on Chebyshev interpolation. In each step of a dynamic programming time-stepping we approximate the value function with Chebyshev polynomials. The key advantage of this approach is…
We study an algorithm which has been proposed by Chinesta et al. to solve high-dimensional partial differential equations. The idea is to represent the solution as a sum of tensor products and to compute iteratively the terms of this sum.…
On the basis of the canonical quantization procedure of a system defined on a cubic lattice, we propose a new method, in which resolutions of unity expressed in terms of eigenvectors are naturally provided, to find eigenvectors of field…
The fractional Hamiltonian analysis of 1+1 dimensional field theory is investigated and the fractional Ostrogradski's formulation is obtained. The fractional path integral of both simple harmonic oscillator with an acceleration-squares part…
We give background material and some details of calculations for two recent papers [1,2] where we derived a path integral representation of the transition element for supersymmetric and nonsupersymmetric nonlinear sigma models in one…