Related papers: Path-Integral Description of Stochastic Mechanics
In this paper, using an algorithm based on the retrospective rejection sampling scheme, we propose an exact simulation of a Brownian diffusion whose drift admits several jumps. We treat explicitly and extensively the case of two jumps,…
We consider a general N-degree-of-freedom dissipative system which admits of chaotic behaviour. Based on a Fokker-Planck description associated with the dynamics we establish that the drift and the diffusion coefficients can be related…
In this paper we develop a general formalism of a path approach for non-equilibrium statistical mechanics. Firstly, we consider the classical Gibbs approach for states and find that this formalism is ineffective for non-equilibrium…
The complex exponential weighting of Feynman formalism is seen to happen at the classical level. (Finiteness of) Feynman path integral formula is suspected then to appear as a consistency condition for the existence of certain Dirac…
We consider the problem of statistical inference for the effective dynamics of multiscale diffusion processes with (at least) two widely separated characteristic time scales. More precisely, we seek to determine parameters in the effective…
Stochastic reaction-diffusion processes may be presented in terms of integrable quantum chains and can be used to describe various biological and chemical systems. Exploiting the integrability of the models one finds in some cases good…
The purpose of this expository paper is to highlight the starring role of time-frequency analysis techniques in some recent contributions concerning the mathematical theory of Feynman path integrals. We hope to draw the interest of…
We to define a Path Integral in Lorentzian time by restricting the relevant domain of integration on $C([0,1],M)$ over a Riemannian configuration manifold $(M,g)$ and considering the dynamics of a particle evolving between to fixed…
Despite the success of fractional Brownian motion (fBm) in modeling systems that exhibit anomalous diffusion due to temporal correlations, recent experimental and theoretical studies highlight the necessity for a more comprehensive approach…
This paper deals with the analysis of stochastic systems which can be described by a Langevin equation. By the method presented in this paper drift and diffusion terms of the corresponding Fokker-Planck equation can be extracted from the…
Given an arbitrary Lagrangian function on \RR^d and a choice of classical path, one can try to define Feynman's path integral supported near the classical path as a formal power series parameterized by "Feynman diagrams," although these…
Diffusion with stochastic transport is investigated here when the random driving process is a very general Gaussian process, including Fractional Brownian motion. The purpose is the comparison with a deterministic PDE, which in certain…
We propose a new approach based on the path integral formalism to the calculation of the probability distribution functions of quadratic quantities of the Gaussian polymer chain in d-dimensional space, such as the radius of gyration and…
We study one-dimensional stochastic integral equations with non-smooth dispersion coefficients, and with drift components that are not restricted to be absolutely continuous with respect to Lebesgue measure. In the spirit of Lamperti, Doss…
We introduce an atomistic approach to the dissipative quantum dynamics of charged or neutral excitations propagating through macromolecular systems. Using the Feynman-Vernon path integral formalism, we analytically trace out from the…
Bursty transport phenomena associated with convective motion present universal statistical characteristics among different physical systems. In this letter, a stochastic univariate model and the associated probability distribution function…
We revisit the work of Mitter and Newton on an information-theoretic interpretation of Bayes' formula through the Gibbs variational principle. This formulation allowed them to pose nonlinear estimation for diffusion processes as a problem…
We present a path integral formulation of Darcy's equation in one dimension with random permeability described by a correlated multi-variate lognormal distribution. This path integral is evaluated with the Markov chain Monte Carlo method to…
In perturbative calculations of quantum mechanical path integrals in curvilinear coordinates, Feynman diagrams involve multiple temporal integrals over products of distributions, which are mathematically undefined. We derive simple rules…
In this paper, we study the estimation of drift and diffusion coefficients in a two dimensional system of N interacting particles modeled by a degenerate stochastic differential equation. We consider both complete and partial observation…