Related papers: Random Series and Discrete Path Integral methods: …
We construct intrinsic on-and off-diagonal upper and lower estimates for the transition probability density of a L\'evy process in small time. By intrinsic we mean that such estimates reflect the structure of the characteristic exponent of…
A calculation is presented that shows that Feynman's path integral implies Ostrogradsky's Hamiltonian for nonsingular Lagrangians with second derivatives. The procedure employs the stationary phase approximation to obtain the limiting…
We consider particle filters with weakly informative observations (or `potentials') relative to the latent state dynamics. The particular focus of this work is on particle filters to approximate time-discretisations of continuous-time…
We consider the Cauchy problem for a pseudo-differential operator which has a translation-invariant and analytic symbol. For a certain set of initial conditions, a formal solution is obtained by a perturbative expansion. The series so…
Neural networks are increasingly used to construct numerical solution methods for partial differential equations. In this expository review, we introduce and contrast three important recent approaches attractive in their simplicity and…
We propose the Bayesian bridge estimator for regularized regression and classification. Two key mixture representations for the Bayesian bridge model are developed: (1) a scale mixture of normals with respect to an alpha-stable random…
We analyze a specific class of random systems that are driven by a symmetric L\'{e}vy stable noise. In view of the L\'{e}vy noise sensitivity to the confining "potential landscape" where jumps take place (in other words, to environmental…
Feynman proposed a postulate or a method of quantization in his celebrated paper in 1948. Applying Feynman's postulate to temporally continuous quantum measurements of the positions of particles, Mensky proposed the restricted Feynman path…
An elementary construction of the Wiener process is discussed, based on a proper sequence of simple symmetric random walks that uniformly converge on bounded intervals, with probability 1. This method is a simplification of F.B. Knight's…
Sequential and quantum Monte Carlo methods, as well as genetic type search algorithms can be interpreted as a mean field and interacting particle approximations of Feynman-Kac models in distribution spaces. The performance of these…
This paper is devoted to the characterization of an extended family of CARMA (continuous-time autoregressive moving average) processes that are solutions of stochastic differential equations driven by white Levy innovations. These are…
Feynman integral reduction based on intersection theory provides an alternative to the traditional integration-by-parts method, yet its practical application has been constrained by the large number of variables required in the computation.…
We give meaning to differential equations with a rough path term and a Brownian noise term as driving signals. Such differential equations as well as the question of regularity of the solution map arise naturally and we discuss two…
In this paper, we develop and analyze a stochastic algorithm for solving space-time fractional diffusion models, which are widely used to describe anomalous diffusion dynamics. These models pose substantial numerical challenges due to the…
Sparse parametric models are of great interest in statistical learning and are often analyzed by means of regularized estimators. Pathwise methods allow to efficiently compute the full solution path for penalized estimators, for any…
Discrete diffusion models have gained increasing attention for their ability to model complex distributions with tractable sampling and inference. However, the error analysis for discrete diffusion models remains less well-understood. In…
Path integral Monte Carlo (PIMC) simulations have become an important tool for the investigation of the statistical mechanics of quantum systems. I discuss some of the history of applying the Monte Carlo method to non-relativistic quantum…
We compute averages of products and ratios of characteristic polynomials associated with Orthogonal, Unitary, and Symplectic Ensembles of Random Matrix Theory. The pfaffian/determinantal formulas for these averages are obtained, and the…
We investigate the properties of the path integral over reparametrizations (= the boundary value of the Liouville field in open string theory). Discretizing the path integral, we apply the Metropolis-Hastings algorithm to numerical…
We consider numerical schemes for computing the linear response of steady-state averages of stochastic dynamics with respect to a perturbation of the drift part of the stochastic differential equation. The schemes are based on Girsanov's…