Results 31 to 40 of about 8,689 (223)

A backward particle interpretation of Feynman-Kac formulae [PDF]

ESAIM: Mathematical Modelling and Numerical Analysis, 2010
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 traditional genealogical tree based models, these new particle algorithms can be used to compute normalized ...
del Moral, Pierre, Doucet, Arnaud, Singh, Sumeetpal   +2 more
openaire   +4 more sources

A Feynman-Kac formula for anticommuting Brownian motion [PDF]

Journal of Physics A: Mathematical and General, 2001
Motivated by application to quantum physics, anticommuting analogues of Wiener measure and Brownian motion are constructed. The corresponding Ito integrals are defined and the existence and uniqueness of solutions to a class of stochastic differential equations is established.
Leppard, S, Rogers, F A
openaire   +4 more sources

An asymptotic expansion of the solution of a semi-linear partial differential equation implied by a nonlinear Feynman–Kac formula

International Journal of Mathematics for Industry
This paper introduces an asymptotic expansion for the smooth solution of a semi-linear partial differential equation. Our scheme is based on Itô’s formula, Taylor’s expansion, nonlinear Feynman–Kac formula and some algebras.
Kaori Okuma
doaj   +1 more source

An exact representation of the fermion dynamics in terms of Poisson processes and its connection with Monte Carlo algorithms [PDF]

, 1999
We present a simple derivation of a Feynman-Kac type formula to study fermionic systems. In this approach the real time or the imaginary time dynamics is expressed in terms of the evolution of a collection of Poisson processes.
, C Presilla, Ceperley D. M., De Angelis G. F., De Angelis G. F., G Jona-Lasinio, G. F. De Angelis, M Beccaria   +7 more
core   +1 more source

Weak approximation rates for integral functionals of Markov processes

Modern Stochastics: Theory and Applications, 2015
We obtain weak rates for approximation of an integral functional of a Markov process by integral sums. An assumption on the process is formulated only in terms of its transition probability density, and, therefore, our approach is not strongly dependent ...
Iurii Ganychenko, Alexei Kulik
doaj   +1 more source

Continuity of the Feynman-Kac formula for a generalized parabolic equation

, 2016
It is well-known since the work of Pardoux and Peng [12] that Backward Stochastic Differential Equations provide probabilistic formulae for the solution of (systems of) second order elliptic and parabolic equations, thus providing an extension of the ...
Pardoux, Etienne, Rascanu, Aurel
core   +3 more sources

PRICING POWERED \(\alpha\)-POWER QUANTO OPTIONS WITH AND WITHOUT POISSON JUMPS

Ural Mathematical Journal
This paper deals with the problem of Black-Scholes pricing for the Quanto option pricing with power type powered and powered payoff underlying foreign currency is driven by Brownian motion and Poisson jumps, via risk-neutral probability measure.
Javed Hussain, Nisar Ali
doaj   +1 more source

Fast Fourier Transform Based Power Option Pricing with Stochastic Interest Rate, Volatility, and Jump Intensity

Journal of Applied Mathematics, 2013
Firstly, we present a more general and realistic double-exponential jump model with stochastic volatility, interest rate, and jump intensity. Using Feynman-Kac formula, we obtain a partial integrodifferential equation (PIDE), with respect to the moment ...
Jiexiang Huang, Wenli Zhu, Xinfeng Ruan
doaj   +1 more source

Reinforcement Learning for Jump‐Diffusions, With Financial Applications

Mathematical Finance, EarlyView.
ABSTRACT We study continuous‐time reinforcement learning (RL) for stochastic control in which system dynamics are governed by jump‐diffusion processes. We formulate an entropy‐regularized exploratory control problem with stochastic policies to capture the exploration–exploitation balance essential for RL.
Xuefeng Gao, Lingfei Li, Xun Yu Zhou
wiley   +1 more source

Unified Asymptotics for Investment Under Illiquidity: Transaction Costs and Search Frictions

Mathematical Finance, Volume 36, Issue 1, Page 67-98, January 2026.
ABSTRACT This paper investigates the optimal investment problem in a market with two types of illiquidity: transaction costs and search frictions. We analyze a power‐utility maximization problem where an investor encounters proportional transaction costs and trades only when a Poisson process triggers trading opportunities.
Tae Ung Gang, Jin Hyuk Choi
wiley   +1 more source