Related papers: A rough path approach to pathwise stochastic integ…
We introduce a stochastic integral with respect to cylindrical L\'evy processes with finite $p$-th weak moment for $p\in [1,2]$. The space of integrands consists of $p$-summing operators between Banach spaces of martingale type $p$. We…
Consider an It\^{o} process $X$ satisfying the stochastic differential equation $dX=a(X)\,dt+b(X)\,dW$ where $a,b$ are smooth and $W$ is a multidimensional Brownian motion. Suppose that $W_n$ has smooth sample paths and that $W_n$ converges…
We prove an extension to the classical continuity theorem in rough paths. We show that two $p$-rough paths are close in all levels of iterated integrals provided the first $\lfl p \rfl$ terms are close in a uniform sense. Applications…
We study the convergence in $L^2$ of the time slicing approximation of Feynman path integrals under low regularity assumptions on the potential. Inspired by the custom in Physics and Chemistry, the approximate propagators considered here…
In this note we introduce a new approach to rough and stochastic partial differential equations (RPDEs and SPDEs): we consider general Banach spaces as state spaces and -- for the sake of simiplicity -- finite dimensional sources of noise,…
We give two novel proofs that the path integral and stochastic quantizations of generic scalar Euclidean quantum field theories are equivalent. Our proofs rely on Taylor interpolations indexed by forests, in the fashion of constructive…
The approximative theorems of incomplete Riemann-Stieltjes sums of Ito stochastic integral, mean square integral and Stratonovich stochastic integral with respect to Brownian motion are investigated. Some sufficient conditions of incomplete…
In this work we introduce a theory of stochastic integration with respect to general cylindrical semimartingales defined on a locally convex space $\Phi$. Our construction of the stochastic integral is based on the theory of tensor products…
In this paper we continue the study of the path-integral formulation of classical mechanics and in particular we better clarify, with respect to previous papers, the geometrical meaning of the variables entering this formulation. With…
The Feynman path integrals for the magnetic Schroedinger equations are defined mathematically, in particular, with polynomially growing potentials in the spatial direction. For example, we can handle electromagnetic potentials…
We prove that the stochastic differential equation $$ Y_{s,t}(x) = Y_{s,s}(x) + \int_0^{t-s} f(Y_{s,s+u}(x)) dX_{s+u}, Y_{s,s}(x)=x\in\R^d. $$ driven by a L\'evy process whose paths have finite p-variation almost surely for some $p\in[1,2)$…
We consider anticipative Stratonovich stochastic differential equations driven by some stochastic process lifted to a rough path. Neither adaptedness of initial point and vector fields nor commuting conditions between vector field is…
Let $B=(B_1(t),..,B_d(t))$ be a $d$-dimensional fractional Brownian motion with Hurst index $\alpha\le 1/4$, or more generally a Gaussian process whose paths have the same local regularity. Defining properly iterated integrals of $B$ is a…
A supersymmetric path integral representation is developed for stochastic processes whose Langevin equation contains any number N of time derivatives, thus generalizing the Langevin equation with inertia studied by Kramers, where N=2. The…
Using Vovk's outer measure, which corresponds to a minimal superhedging price, the existence of quadratic variation is shown for "typical price paths" in the space of c\`adl\`ag functions possessing a mild restriction on the jumps directed…
A method for calculating the relativistic path integral solution via sum over perturbation series is given. As an application the exact path integral solution of the relativistic Aharonov-Bohm-Coulomb system is obtained by the method.…
The theory of large random matrices has proved an invaluable tool for the study of systems with disordered interactions in many quite disparate research areas. Widely applicable results, such as the celebrated elliptic law for dense random…
As in the case of soliton PDEs in 2+1 dimensions, the evolutionary form of integrable dispersionless multidimensional PDEs is non-local, and the proper choice of integration constants should be the one dictated by the associated Inverse…
Integral transform method (Fourier or Laplace transform, etc) is more often effective to do the theoretical analysis for the stochastic processes. However, for the time-space coupled cases, e.g., L\'evy walk or nonlinear cases, integral…
This paper presents a Lie-Trotter splitting for inertial Langevin equations (Geometric Langevin Algorithm) and analyzes its long-time statistical properties. The splitting is defined as a composition of a variational integrator with an…