相关论文: Random Series and Discrete Path Integral methods: …
The Feynman-Kac equations are a type of partial differential equations describing the distribution of functionals of diffusive motion. The probability density function (PDF) of Brownian functionals satisfies the Feynman-Kac formula, being a…
A fully regulated definition of Feynman's path integral is presented here. The proposed re-formulation of the path integral coincides with the familiar formulation whenever the path integral is well-defined. In particular, it is consistent…
In this paper, we consider the composition of two independent processes : one process corresponds to position and the other one to time. Such processes will be called iterated processes. We first propose an algorithm based on the Euler…
This article develops a methodology allowing application of the complete machinery of particle-based inference methods upon the class of continuous-discrete State Space Models (CD-SSMs). Such models correspond to a latent continuous-time…
In this paper, we exploit the gradient flow structure of continuous-time formulations of Bayesian inference in terms of their numerical time-stepping. We focus on two particular examples, namely, the continuous-time ensemble Kalman-Bucy…
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…
Interacting particle methods are increasingly used to sample from complex and high-dimensional distributions. These stochastic particle integration techniques can be interpreted as an universal acceptance-rejection sequential particle…
Global sensitivity analysis is employed to evaluate the effective dimension reduction achieved through Chebyshev interpolation and the conditional pathwise method for Greek estimation of discretely monitored barrier options and arithmetic…
Feynman's path integral is herein generalized to the nonextensive canonical density matrix based on Tsallis entropy. This generalization is done in two ways by using unnormalized and normalized constraints. Firstly, we consider the path…
A summary of the relationship between the Langevin equation, Fokker-Planck-Kolmogorov forward equation (FPKfe) and the Feynman path integral descriptions of stochastic processes relevant for the solution of the continuous-discrete filtering…
Analytic continuation of imaginary time or frequency data to the real axis is a crucial step in extracting dynamical properties from quantum Monte Carlo simulations. The average spectrum method provides an elegant solution by integrating…
We show how effective-potential path-integrals methods, stemming on a simple and nice idea originally due to Feynman and successfully employed in Physics for a variety of quantum thermodynamics applications, can be used to develop an…
The Feynman path integral formalism has inspired the development of memory-efficient and parallelizable classical algorithms for simulating quantum computers. We adapt this approach for the calculation of probability amplitudes of…
A discrete formulation of the real-time path integral as the expectation value of a functional of paths with respect to a complex probability on a sample space of discrete valued paths is explored. The formulation in terms of complex…
We consider rough paths with jumps. In particular, the analogue of Lyons' extension theorem and rough integration are established in a jump setting, offering a pathwise view on stochastic integration against cadlag processes. A class of…
Score-based diffusion models have proven effective in image generation and have gained widespread usage; however, the underlying factors contributing to the performance disparity between stochastic and deterministic (i.e., the probability…
The Feynman-Kac formulae (FKF) express local solutions of partial differential equations (PDEs) as expectations with respect to some complementary stochastic differential equation (SDE). Repeatedly sampling paths from the complementary SDE…
Since its formulation in the late 1940s, the Feynman-Kac formula has proven to be an effective tool for both theoretical reformulations and practical simulations of differential equations. The link it establishes between such equations and…
Based on the Lie symmetry method, we investigate a Feynman-Kac formula for the classical geometric mean reversion process, which effectively describing the dynamics of short-term interest rates. The Lie algebra of infinitesimal symmetries…
The {\alpha}-stable L\'evy process, commonly used to describe L\'evy flight, is characterized by discontinuous jumps and is widely used to model anomalous transport phenomena. In this study, we investigate the associated exit problem and…