Related papers: Path-Integral Description of Stochastic Mechanics
We construct a path distribution representing the kinetic part of the Feynman path integral at discrete times similar to that defined by Thomas [1], but on a Hilbert space of paths rather than a nuclear sequence space. We also consider…
Recently a path integral formalism has been proposed by the author which gives the time evolution of moments of slow variables in a Hamiltonian statistical system. This closure relies on evaluating the informational discrepancy of a time…
This paper is the first part of a series of papers on filtering for partially observed jump diffusions satisfying a stochastic differential equation driven by Wiener processes and Poisson martingale measures. The coefficients of the…
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…
A possibility to use an integral operator for establishing the link between physical and structural levels of materials in modeling diffusion processes is considered. We show how to perform the transition from the stochastic description of…
We discuss stochastic representations of advection diffusion equations with variable diffusivity, stochastic integrals of motion and generalized relative entropies.
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…
The presented explanations are provided for the one--dimensional diffusion process with constant drift by using forward Fokker--Planck technique. We are interested in the outflow probability in a finite interval, i.e. first passage time…
Transport phenomena are ubiquitous in nature and known to be important for various scientific domains. Examples can be found in physics, electrochemistry, heterogeneous catalysis, physiology, etc. To obtain new information about diffusive…
A novel model of intermittency is presented in which the dynamics of the rates of energy transfer between successive steps in the energy cascade is described by a hierarchy of stochastic differential equations. The probability distribution…
A path integral formalism for non-equilibrium systems is proposed based on a manifold of quasi-equilibrium densities. A generalized Boltzmann principle is used to weight manifold paths with the exponential of minus the information…
Asymptotic theory for approximate martingale estimating functions is generalised to diffusions with finite-activity jumps, when the sampling frequency and terminal sampling time go to infinity. Rate optimality and efficiency are of…
This paper is the third in a series devoted to constructing stochastic motions for the two-dimensional $N$-body delta-Bose gas for all integers $N\geq 3$ and establishing the associated Feynman-Kac-type formulas. The main results here prove…
We consider a stochastic process driven by a diffusion and jumps. We devise a technique, which is based on a discrete record of observations, for identifying the times when jumps larger than a suitably defined threshold occurred. The…
Given the importance of continuous-time stochastic volatility models to describe the dynamics of interest rates, we propose a goodness-of-fit test for the parametric form of the drift and diffusion functions, based on a marked empirical…
A diagram approach to classical nonlinear stochastic field theory is introduced. This approach is intended to serve as a link between quantum and classical field theories, resulting in an independent constructive characterisation of the…
p-Adic generalization of the Feynman path integrals in quantum mechanics is considered. The probability amplitude for a particle in a constant field is calculated. Path integrals over p-adic space have the same form as those over R.
In this paper we investigate classical solution of a semi-linear system of backward stochastic integral partial differential equations driven by a Brownian motion and a Poisson point process. By proving an It\^{o}-Wentzell formula for jump…
The Wright-Fisher process with selection is an important tool in population genetics theory. Traditional analysis of this process relies on the diffusion approximation. The diffusion approximation is usually studied in a partial…
Of stochastic differential equations, diffusion processes have been adopted in numerous applications, as more relevant and flexible models. This paper studies diffusion processes in a different setting, where for a given stationary…