Related papers: Tamed Feynman-Kac diffusion processes: Killing-bra…
The challenge to fruitfully merge state-of-the-art techniques from mathematical finance and numerical analysis has inspired researchers to develop fast deterministic option pricing methods. As a result, highly efficient algorithms to…
We determine the long time behavior and the exact order of the tail probability for the maximal displacement of a branching Brownian motion in Euclidean space in terms of the principal eigenvalue of the associated Schr\"odinger type…
We provide an original and general sufficient criterion ensuring the exponential contraction of Feynman-Kac semi-groups of penalized processes. This criterion is applied to time-inhomogeneous one-dimensional diffusion processes conditioned…
Branching random flights are key to describing the evolution of many physical and biological systems, ranging from neutron multiplication to gene mutations. When their paths evolve in bounded regions, we establish a relation between the…
We design a particle interpretation of Feynman-Kac measures on path spaces based on a backward Markovian representation combined with a traditional mean field particle interpretation of the flow of their final time marginals. In contrast to…
We propose and study a certain discrete time counterpart of the classical Feynman--Kac semigroup with a confining potential in countable infinite spaces. For a class of long range Markov chains which satisfy the direct step property we…
The so-called Klein tunneling is re-examined within the framework of quantum field theory, but from a different point of view on the asymptotic states. We treat it as a one-dimensional scattering process of a fermion incident to a step…
We analyze quantal Brownian motion in $d$ dimensions using the unified model for diffusion localization and dissipation, and Feynman-Vernon formalism. At high temperatures the propagator possess a Markovian property and we can write down an…
Consider a d-dimensional Brownian motion in a random potential defined by attaching a nonnegative and polynomially decaying potential around Poisson points. We introduce a repulsive interaction between the Brownian path and the Poisson…
We provide two applications of an elementary (yet seemingly unknown) probabilistic representation of matrix ordered exponentials, which generalizes the Feynman-Kac formula in finite dimensions and the change of measure formula between two…
Discretizations of the Feynman-Kac path integral representation of the quantum mechanical density matrix are investigated. Each infinite-dimensional path integral is approximated by a Riemann integral over a finite-dimensional function…
For distinguishable particles it is well known that Brownian motion and a Feynman-Kac functional can be used to calculate the path integral (for imaginary times) for a general class of scalar potentials. In order to treat identical…
We investigate asymptotic decay phenomenon towards the nonequilibrium steady state of the thermal diffusion in the presence of a tilted periodic potential. The parameter dependence of the decay rate is revealed by investigating the…
This paper provides a finite difference discretization for the backward Feynman-Kac equation, governing the distribution of functionals of the path for a particle undergoing both reaction and diffusion [Hou and Deng, J. Phys. A: Math.…
The evolution of several physical and biological systems, ranging from neutron transport in multiplying media to epidemics or population dynamics, can be described in terms of branching exponential flights, a stochastic process which…
We derive general properties of anomalous diffusion and nonexponential relaxation from the theory of tempered \alpha-stable processes. Its most important application is to overcome the infinite-moment difficulty for the \alpha-stable random…
We access the edge of Gaussian beta ensembles with one spike by analyzing high powers of the associated tridiagonal matrix models. In the classical cases beta=1, 2, 4, this corresponds to studying the fluctuations of the largest eigenvalues…
We study here the escape time for the fastest diffusing particle from the boundary of an interval with point-sink killing sources. Killing represents a degradation that leads to the probabilistic removal of the moving Brownian particles. We…
In 1905, Einstein's theory of Brownian motion supported the molecular basis of the diffusion equation and introduced two complementary viewpoints: a deterministic field description and a probabilistic formulation based on stochastic…
In this paper the Turing pattern formation mechanism of a two component reaction-diffusion system modeling the Schnakenberg chemical reaction coupled to linear cross-diffusion terms is studied. The linear cross-diffusion terms favors the…