Feynman-Kac formula for stochastic hybrid systems
Physical Review E, 2017 We derive a Feynman-Kac formula for functionals of a stochastic hybrid system evolving according to a piecewise deterministic Markov process. We first derive a stochastic Liouville equation for the moment generator of the stochastic functional, given a particular realization of the underlying discrete Markov process; the latter generates transitions ...
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Excursion Laplace Exponents Under Height Truncation
MathematicsWe study one-dimensional diffusions reflected at a boundary and analyze their pathwise “episodes” away from the boundary through Itô’s excursion theory. Under a fixed height cap of a>0, each excursion is equipped with three natural marks: its lifetime ζ,
Tristan Guillaume
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The Feynman-Kac formula in deformation quantization
The European Physical Journal PlusWe introduce the Feynman-Kac formula within the deformation quantization program. Constructing on previous work it is shown that, upon a Wick rotation, the ground state energy of any prescribed physical system can be obtained from the asymptotic limit of the phase space integration of the star exponential of the Hamiltonian operator.
Jasel Berra-Montiel +2 more
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Spatial asymptotics for the Feynman-Kac formulas driven by\n time-dependent and space-fractional rough Gaussian fields with the\n measure-valued initial data [PDF]
, 2020 Yang-Yang Lyu
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The speed of invasion in an advancing population. [PDF]
J Math Biol, 2023 Bovier A, Hartung L.
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Feynman–Kac formulas for regime-switching jump diffusions and their applications [PDF]
, 2015 Chao Zhu, George Yin, Nicholas A. Baran
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Path Dependent Feynman-Kac Formula for Forward Backward Stochastic Volterra Integral Equations [PDF]
, 2020 Hanxiao Wang +2 more
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FEYNMAN–KAC FORMULAS FOR BLACK–SCHOLES-TYPE OPERATORS [PDF]
, 2006 Svante Janson, Johan Tysk
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Branching random motions, nonlinear hyperbolic systems and traveling waves [PDF]
A branching random motion on a line, with abrupt changes of direction, is studied. The branching mechanism, being independient of random motion, and intensities of reverses are defined by a particle's current direction.
Nikita Ratanov
core
Integral equation characterization of the Feynman-Kac formula for a\n regime-switching diffusion [PDF]
, 2019 Adriana Ocejo
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