Results 41 to 50 of about 8,689 (223)

Advanced Operator Theory for Energy Market Trading: A New Framework

Risks
This paper analyzes a parabolic operator L that generalizes several well-known operators commonly used in financial mathematics. We establish the existence and uniqueness of the Feller semigroup associated with L and derive its explicit analytical ...
Michele Bufalo, Viviana Fanelli
doaj   +1 more source

Strategic exits in stochastic partnerships: The curse of profitability

Theoretical Economics, Volume 21, Issue 1, Page 167-203, January 2026.
We study dynamic partnerships where the output evolves stochastically, each player can exit at any time, and players who have exited continue to accrue some benefits if the remaining players keep contributing to the partnership. Players can strategically exit to free‐ride on their partners' contributions, knowing that it may trigger subsequent exits of
Boli Xu
wiley   +1 more source

W‐algebras, Gaussian free fields, and g$\mathfrak {g}$‐Dotsenko–Fateev integrals

Proceedings of the London Mathematical Society, Volume 131, Issue 6, December 2025.
Abstract Based on the intrinsic connection between Gaussian free fields and the Heisenberg vertex algebra, we study some aspects of the correspondence between probability theory and W$W$‐algebras. This is first achieved by providing a construction of the W$W$‐algebra associated to a complex simple Lie algebra g$\mathfrak {g}$ by means of Gaussian free ...
Baptiste Cerclé
wiley   +1 more source

On the Feynman–Kac Formula

, 2020
In this article, given $y :[0, )\rightarrow H$ a continuous map into a Hilbert space $H$ we study the equation \[\hat y(t) = e^{\int_0^tc(s,\hat y)}y(t)\] where $c(s,\cdot)$ is a given `potential' on $C([0, ),H)$. Applying the transformation $y \rightarrow \hat y$ to the solutions of the SPDE and PDE underlying a diffusion, we study the Feynman-Kac ...
openaire   +2 more sources

A Variational Formulation of European Option Prices in the 1‐Hypergeometric Stochastic Volatility Model

Mathematical Methods in the Applied Sciences, Volume 48, Issue 17, Page 16110-16121, 30 November 2025.
ABSTRACT The paper proposes a variational analysis of the 1‐hypergeometric stochastic volatility model for pricing European options. The methodology involves the derivation of estimates of the weak solution in a weighted Sobolev space. The weight is closely related to the stochastic volatility dynamic of the model.
José Da Fonseca, Wenjun Zhang
wiley   +1 more source

Asymptotic Behavior of Stochastic Reaction–Diffusion Equations

Mathematics
In this paper, we concentrate on the propagation dynamics of stochastic reaction–diffusion equations, including the existence of travelling wave solution and asymptotic wave speed. Based on the stochastic Feynman–Kac formula and comparison principle, the
Hao Wen, Yuanjing Wang, Guangyuan Liu, Dawei Liu   +3 more
doaj   +1 more source

Off-diagonal long-range order for the free Bose gas via the Feynman--Kac formula [PDF]

, 2023
Wolfgang König, Quirin Vogel, Alexander Zass   +2 more
openalex   +1 more source

On distributions of functionals of anomalous diffusion paths

, 2010
Functionals of Brownian motion have diverse applications in physics, mathematics, and other fields. The probability density function (PDF) of Brownian functionals satisfies the Feynman-Kac formula, which is a Schrodinger equation in imaginary time.
A. Baldassarri, A. Bar-Haim, A. Baule, A. Comtet, A. Comtet, A. Iomin, A. Rebenshtok, A. Rebenshtok, A.H. Gandjbakhche, B. Dybiec, B.B. Mandelbrot, C. Godrèche, D. Kleinhans, D.S. Grebenkov, D.S. Grebenkov, E. Barkai, E. Barkai, E. Barkai, E.W. Montroll, Eli Barkai, F.D. Stefani, G. Bel, G. Foltin, G. Hummer, G. Margolin, G. Margolin, H. Scher, H. Weissman, H.C. Fogedby, J. Lamperti, J.P. Bouchaud, L. Turgeman, Lior Turgeman, M. Kac, M. Kac, M. Kotulski, M. Magdziarz, M. Magdziarz, M. Naber, M. Yor, M.M. Meerschaert, N. Agmon, N. Agmon, N. Laskin, N. Laskin, R. Friedrich, R. Metzler, R. Metzler, S. Havlin, S. Karlin, S. Redner, S. Sabhapandit, S. Wang, S. Watanabe, S.N. Majumdar, S.N. Majumdar, S.N. Majumdar, S.N. Majumdar, S.N. Majumdar, Shai Carmi, V. Tejedor, W.R. Schneider, Y. Hu   +62 more
core   +1 more source

Systemic Robustness: A Mean‐Field Particle System Approach

Mathematical Finance, Volume 35, Issue 4, Page 727-744, October 2025.
ABSTRACT This paper is concerned with the problem of capital provision in a large particle system modeled by stochastic differential equations involving hitting times, which arises from considerations of systemic risk in a financial network. Motivated by Tang and Tsai, we focus on the number or proportion of surviving entities that never default to ...
Erhan Bayraktar, Gaoyue Guo, Wenpin Tang, Yuming Paul Zhang   +3 more
wiley   +1 more source

Stochastic analysis & discrete quantum systems

Nuclear Physics B, 2019
We explore the connections between the theories of stochastic analysis and discrete quantum mechanical systems. Naturally these connections include the Feynman-Kac formula, and the Cameron-Martin-Girsanov theorem.
Anastasia Doikou, Simon J.A. Malham, Anke Wiese   +2 more
doaj   +1 more source