First Order Feynman-Kac Formula [PDF]
Stochastic Processes and their Applications, 2017 We study the parabolic integral kernel associated with the weighted Laplacian and the Feynman-Kac kernels. For manifold with a pole we deduce formulas and estimates for them and for their derivatives, given in terms of a Gaussian term and the semi ...
Li, Xue-Mei, Thompson, James
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Generalized Feynman-Kac Formula under volatility uncertainty [PDF]
Stochastic Processes and their Applications, 2020 In this paper we provide a generalization of a Feynmac-Kac formula under volatility uncertainty in presence of a linear term in the PDE due to discounting. We state our result under different hypothesis with respect to the derivation given by Hu, Ji, Peng and Song (Comparison theorem, Feynman-Kac formula and Girsanov transformation for BSDEs driven by ...
Bahar Akhtari +3 more
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Adopting Feynman–Kac Formula in Stochastic Differential Equations with (Sub-)Fractional Brownian Motion [PDF]
Mathematics, 2022 The aim of this work is to establish and generalize a relationship between fractional partial differential equations (fPDEs) and stochastic differential equations (SDEs) to a wider class of stochastic processes, including fractional Brownian motions {BtH,
Bodo Herzog
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Combinatorial formulation of Ising model revisited
Revista Brasileira de Ensino de Física, 2003 In 1952, Kac and Ward developed a combinatorial formulation for the two dimensional Ising model which is another method of obtaining Onsager's famous formula for the free energy per site in the termodynamic limit of the model.
G.A.T.F.da Costa, A. L. Maciel
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A derivation of quantum Jarzynski equality using quantum Feynman-Kac formula [PDF]
, 2012 On the basis of a quantum mechanical analogue of the famous Feynman-Kac formula and the Kolmogorov picture, we present a novel method to derive nonequilibrium work equalities for isolated quantum systems, which include the Jarzynski equality and Bochkov ...
Fei Liu
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Analytic solutions of variance swaps for Heston models with stochastic long-run mean of variance and jumps. [PDF]
PLoS ONEThis paper presents the pricing formulas for variance swaps within the Heston model that incorporates jumps and a stochastic long-term mean for the underlying asset. By leveraging the Feynman-Kac theorem, we derive a partial integro-differential equation
Jing Fu
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Geometric Average Asian Option Pricing with Paying Dividend Yield under Non-Extensive Statistical Mechanics for Time-Varying Model [PDF]
Entropy, 2018 This paper is dedicated to the study of the geometric average Asian call option pricing under non-extensive statistical mechanics for a time-varying coefficient diffusion model.
Jixia Wang, Yameng Zhang
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Feynman–Kac formula for the heat equation driven by fractional noise with Hurst parameter H < 1/2 [PDF]
, 2012 In this paper, a Feynman-Kac formula is established for stochastic partial differential equation driven by Gaussian noise which is, with respect to time, a fractional Brownian motion with Hurst parameter ...
Yaozhong Hu, Fei Lu, David Nualart
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Feynman-Kac formula for Levy processes and semiclassical (Euclidean) momentum representation [PDF]
, 2013 We prove a version of the Feynman-Kac formula for Levy processes and integro-differential operators, with application to the momentum representation of suitable quantum (Euclidean) systems whose Hamiltonians involve L\'{e}vy-type potentials.
Nicolas Privault +2 more
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A variational quantum algorithm for the Feynman-Kac formula [PDF]
Quantum, 2022 We propose an algorithm based on variational quantum imaginary time evolution for solving the Feynman-Kac partial differential equation resulting from a multidimensional system of stochastic differential equations.
Hedayat Alghassi +5 more
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