Related papers: A rough path approach to pathwise stochastic integ…
Extension of Feynman's path integral to quantum mechanics of noncommuting spatial coordinates is considered. The corresponding formalism for noncommutative classical dynamics related to quadratic Lagrangians (Hamiltonians) is formulated.…
We study the filtering and smoothing problem for continuous-time linear Gaussian systems. While classical approaches such as the Kalman-Bucy filter and the Rauch-Tung-Striebel (RTS) smoother provide recursive formulas for the conditional…
We build a connection between rough path theory and noncommutative algebra, and interpret the integration of geometric rough paths as an example of a non-abelian Young integration. We identify a class of slowly-varying one-forms, and prove…
We study different possibilities to apply the principles of rough paths theory in a non-commutative probability setting. First, we extend previous results obtained by Capitaine, Donati-Martin and Victoir in Lyons' original formulation of…
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…
We develop a mathematically well-defined path integral formalism for general symplectic manifolds. We argue that in order to make a path integral quantization covariant under general coordinate transformations on the phase space and involve…
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…
Path integrals for particles in curved spaces can be used to compute trace anomalies in quantum field theories, and more generally to study properties of quantum fields coupled to gravity in first quantization. While their construction in…
A Langevin equation with multiplicative noise is an equation schematically of the form dq/dt = - F(q) + e(q) xi, where e(q) xi is Gaussian white noise whose amplitude e(q) depends on q itself. I show how to convert such equations into path…
This paper introduces a comprehensive extension of the path integral formalism to model stochastic processes with arbitrary multiplicative noise. To do so, It\^o diffusive process is generalized by incorporating a multiplicative noise term…
The goal of these notes is to provide an introduction to rough partial differential equations. For this purpose, we will present the theory of rough paths to the extend as it is required. Applications to stochastic partial differential…
This paper is a survey of methods for solving smooth (strongly) monotone stochastic variational inequalities. To begin with, we give the deterministic foundation from which the stochastic methods eventually evolved. Then we review methods…
The Feynman path integral is defined over the space $\mathbb{R}^T$ of all possible paths; it has been a powerful tool to develop Quantum Mechanics. The absolute value of Feynman's integrand is not integrable, then Lebesgue integration…
In the setting of stochastic Volterra equations, and in particular rough volatility models, we show that conditional expectations are the unique classical solutions to path-dependent PDEs. The latter arise from the functional It\^o formula…
Feynman's path integral approach is to sum over all possible spatio-temporal paths to reproduce the quantum wave function and the corresponding time evolution, which has enormous potential to reveal quantum processes in classical view.…
We consider anticipative Stratonovich stochastic differential equations driven by some stochastic process (not necessarily a semi-martingale). No adaptedness of initial point or vector fields is assumed. Under a simple condition on the…
We consider Euclidean path integrals with higher derivative actions, including those that depend quadratically on acceleration, velocity and position. Such path integrals arise naturally in the study of stiff polymers, membranes with…
We derive It\^o-type change of variable formulas for smooth functionals of irregular paths with non-zero $p-$th variation along a sequence of partitions where $p \geq 1$ is arbitrary, in terms of fractional derivative operators, extending…
The Feynman path integral has revolutionized modern approaches to quantum physics. Although the path integral formalism has proven very successful and spawned several approximation schemes, the direct evaluation of real-time path integrals…
The commonly accepted definition of paths starts from a random field but ignores the problem of setting joint distributions of infinitely many random variables for defining paths properly afterwards. This paper provides a turnaround that…