Related papers: A rough path approach to pathwise stochastic integ…
We investigate, by numerical simulation, the path probability of non dissipative mechanical systems undergoing stochastic motion. The aim is to search for the relationship between this probability and the usual mechanical action. The model…
The integral with respect to a multidimensional stochastic measure, for which we assume only $\sigma$-additivity in probability, is studied. The continuity and differentiability of its realizations are established.
We develop a variant of rough path theory tailor-made for analyzing a class of financial asset price models known as rough volatility models. As an application, we prove a pathwise large deviation principle (LDP) for a certain class of…
I review the generating function for quantum-statistical mechanics, known as the Feynman-Vernon influence functional, the decoherence functional, or the Schwinger-Keldysh path integral. I describe a probability-conserving $i\varepsilon$…
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…
We study robust nonlinear filtering for stochastic models driven by L\'evy processes, where the signal and observation processes are coupled through common Brownian and jump noise. Robustness, defined as the continuous dependence of the…
In this work, we present a novel approach for solving stochastic shape optimization problems. Our method is the extension of the classical stochastic gradient method to infinite-dimensional shape manifolds. We prove convergence of the…
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…
We establish a simultaneous generalization of It\^o's theory of stochastic and Lyons' theory of rough differential equations. The interest in such a unification comes from a variety of applications, including pathwise stochastic filtering,…
We present the systematic formalism to derive the path-integral formulation for the hard-core particle systems far from equilibrium. Writing the master equation for a stochastic process of the system in terms of the annihilation and…
By using path integrals, the stochastic process associated to the time evolution of the quantum probability density is formally rewritten in terms of a stochastic differential equation, given by Newton's equation of motion with an…
Using improper Riemann integrals, we will formulate a rigorous version of the real-time, time-sliced Feynman path integral for the $L^2$ transition probability amplitude. We will do this for nonvector potential Hamiltonians with potential…
We exhibit an explicit natural isomorphism between spaces of branched and geometric rough paths. This provides a multi-level generalisation of the isomorphism of Lejay-Victoir (2006) as well as a canonical version of the It\^o-Stratonovich…
In this work a Feynman-Kac path integral method based on Levy measure has been proposed for solving the Cauchy problems associated with the space-time fractional Schroedinger equations arising in interacting systems in fractional quantum…
In this paper, we consider stochastic Schroedinger equations with two-dimensional white noise. Such equations are used to describe the evolution of an open quantum system undergoing a process of continuous measurement. Representations are…
Using some basic notions from the theory of Hopf algebras and quasi-shuffle algebras, we introduce rigorously a new family of rough paths: the quasi-geometric rough paths. We discuss their main properties. In particular, we will relate them…
Multistage stochastic optimization problems are oftentimes formulated informally in a pathwise way. These are correct in a discrete setting and suitable when addressing computational challenges, for example. But the pathwise problem…
We provide a numerically robust and fast method capable of exploiting the local geometry when solving large-scale stochastic optimisation problems. Our key innovation is an auxiliary variable construction coupled with an inverse Hessian…
By adapting Feynman's sum over paths method to a quantum mechanical system whose phase space is a torus, a new proof of the Landsberg-Schaar identity for quadratic Gauss sums is given. In contrast to existing non-elementary proofs, which…
The solution to the fractional Schr\"odinger equation with infinite square well is obtained in this paper, by use of the L\'evy path integral approach. We obtain the even and odd parity wave functions of this problem, which are in…