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Feynman-Kac Formulas for Solutions to Degenerate Elliptic and Parabolic Boundary-Value and Obstacle Problems with Dirichlet Boundary Conditions  [PDF]
Paul M. N. Feehan,Ruoting Gong,Jian Song
Quantitative Finance , 2015,
Abstract: We prove Feynman-Kac formulas for solutions to elliptic and parabolic boundary value and obstacle problems associated with a general Markov diffusion process. Our diffusion model covers several popular stochastic volatility models, such as the Heston model, the CEV model and the SABR model, which are widely used as asset pricing models in mathematical finance. The generator of this Markov process with killing is a second-order, degenerate, elliptic partial differential operator, where the degeneracy in the operator symbol is proportional to the $2\alpha$-power of the distance to the boundary of the half-plane, with $\alpha\in(0,1]$. Our stochastic representation formulas provide the unique solutions to the elliptic boundary value and obstacle problems, when we seek solutions which are suitably smooth up to the boundary portion $\Gamma_{0}$ contained in the boundary of the upper half-plane. In the case when the full Dirichlet condition is given, our stochastic representation formulas provide the unique solutions which are not guaranteed to be any more than continuous up to the boundary portion $\Gamma_{0}$.
Electromagnetic field generated by plasma flows and Feynman and Lienard-Wiechert formulas for a moving point charge  [PDF]
Victor M. Bogdan
Physics , 2009,
Abstract: This note represents a stepping stone from the discovery of the precise mathematical formula for electromagnetic field generated by a moving point charge, the amended Feynman formula, see Bogdan arXiv:0909.5240, and leading to the to the general formula of gravitational and electromagnetic fields generated by moving matter in a Lorentzian frame of special theory of relativity, Bogdan arXiv:0910.0538. In this note the author introduces the notion of flow of matter in a Lorentzian frame. This notion is relativistic in the sense of Einstein's special theory of relativity. The author presents explicit formulas suitable for a digital computer permitting one to find time delay for an action from a flow line to any point in the Lorentzian frame. The time delay field for any flow of plasma in a fixed Lorentzian frame is unique. Using this field he introduces the retarded time field and fundamental fields corresponding to the flow with a free parameter representing the initial positions of the lines of flow. By means of these fields one can represent and establish relations between wave, Lorentz gauge, and Maxwell equations, and Lienard-Wiechert potentials, and amended Feynman's formula. The initial distribution of charges over the initial position of the flow is given by a signed measure of finite variation defined over Borel sets. It may include discrete and continuous components.
Lagrangian and Hamiltonian Feynman formulae for some Feller semigroups and their perturbations  [PDF]
Yana A. Butko,René L. Schilling,Oleg G. Smolyanov
Mathematics , 2012, DOI: 10.1142/S0219025712500154
Abstract: A Feynman formula is a representation of a solution of an initial (or initial-boundary) value problem for an evolution equation (or, equivalently, a representation of the semigroup resolving the problem) by a limit of $n$-fold iterated integrals of some elementary functions as $n\to\infty$. In this note we obtain some Feynman formulae for a class of semigroups associated with Feller processes. Finite dimensional integrals in the Feynman formulae give approximations for functional integrals in some Feynman--Kac formulae corresponding to the underlying processes. Hence, these Feynman formulae give an effective tool to calculate functional integrals with respect to probability measures generated by these Feller processes and, in particular, to obtain simulations of Feller processes.
Constructive Representation Theory for the Feynman Operator Calculus  [PDF]
Tepper L Gill,Woodford W Zachary
Mathematics , 2007,
Abstract: In this paper, we survey recent progress on the constructive theory of the Feynman operator calculus. (The theory is constructive in that, operators acting at different times, actually commute.) We first develop an operator version of the Henstock-Kurzweil integral, and a new Hilbert space that allows us to construct the elementary path integral in the manner originally envisioned by Feynman. After developing our time-ordered operator theory we extend a few of the important theorems of semigroup theory, including the Hille-Yosida theorem. As an application, we unify and extend the theory of time-dependent parabolic and hyperbolic evolution equations. We then develop a general perturbation theory and use it to prove that all theories generated by semigroups are asympotic in the operator-valued sense of Poincare. This allows us to provide a general theory for the interaction representation of relativistic quantum theory. We then show that our theory can be reformulated as a physically motivated sum over paths, and use this version to extend the Feynman path integral to include more general interactions. Our approach is independent of the space of continuous functions and thus makes the question of the existence of a measure more of a natural expectation than a death blow to the foundations for the Feynman integral.
On idempotent generated semigroups  [PDF]
Jo?o Araújo
Mathematics , 2011, DOI: 10.1007/s002330010089
Abstract: We provide short and direct proofs for some classical theorems proved by Howie, Levi and McFadden concerning idempotent generated semigroups of transformations on a finite set.
Parabolic type semigroups: asymptotics and order of contact  [PDF]
Mark Elin,Fiana Jacobzon
Mathematics , 2013,
Abstract: We study the asymptotic behavior of parabolic type semigroups acting on the unit disk as well as those acting on the right half-plane. We use the asymptotic behavior to investigate the local geometry of the semigroup trajectories near the boundary Denjoy--Wolff point. The geometric content includes, in particular, the asymptotes to trajectories, the so-called limit curvature, the order of contact, and so on. We then establish asymptotic rigidity properties for a broad class of semigroups of parabolic type.
A Note on analytic formulas of Feynman propagators in position space  [PDF]
Hong-Hao Zhang,Kai-Xi Feng,Si-Wei Qiu,An Zhao,Xue-Song Li
Physics , 2008, DOI: 10.1088/1674-1137/34/10/005
Abstract: In this paper, we correct an inaccurate result of previous works on the Feynman propagator in position space of a free Dirac field in (3+1)-dimensional spacetime, and we derive the generalized analytic formulas of both the scalar Feynman propagator and the spinor Feynman propagator in position space in arbitrary (D+1)-dimensional spacetime, and we further find a recurrence relation among the spinor Feynman propagator in (D+1)-dimensional spacetime and the scalar Feynman propagators in (D+1)-, (D-1)- and (D+3)-dimensional spacetimes.
Feynman formulae and phase space Feynman path integrals for tau-quantization of some Lévy-Khintchine type Hamilton functions  [PDF]
Yana Butko,Martin Grothaus,Oleg Smolyanov
Mathematics , 2013,
Abstract: This note is devoted to representation of some evolution semigroups. The semigroups are generated by pseudo-differential operators, which are obtained by different (parametrized by a number $\tau$) procedures of quantization from a certain class of functions (or symbols) defined on the phase space. This class contains functions which are second order polynomials with respect to the momentum variable and also some other functions. The considered semigroups are represented as limits of $n$-fold iterated integrals when $n$ tends to infinity (such representations are called Feynman formulae). Some of these representations are constructed with the help of another pseudo-differential operators, obtained by the same procedure of quantization (such representations are called Hamiltonian Feynman formulae). Some representations are based on integral operators with elementary kernels (these ones are called Lagrangian Feynman formulae and are suitable for computations). A family of phase space Feynman pseudomeasures corresponding to different procedures of quantization is introduced. The considered evolution semigroups are represented also as phase space Feynman path integrals with respect to these Feynman pseudomeasures. The obtained Lagrangian Feynman formulae allow to calculate these phase space Feynman path integrals and to connect them with some functional integrals with respect to probability measures.
Discrete Feynman-Kac formulas for branching random walks  [PDF]
Andrea Zoia,Eric Dumonteil,Alain Mazzolo
Physics , 2012, DOI: 10.1209/0295-5075/98/40012
Abstract: Branching random walks are key to the description of several physical and biological systems, such as neutron multiplication, genetics and population dynamics. For a broad class of such processes, in this Letter we derive the discrete Feynman-Kac equations for the probability and the moments of the number of visits $n_V$ of the walker to a given region $V$ in the phase space. Feynman-Kac formulas for the residence times of Markovian processes are recovered in the diffusion limit.
A Feynman-Kac Formula for Unbounded Semigroups  [PDF]
Barry Simon
Physics , 1999,
Abstract: We prove a Feynman-Kac formula for Schrodinger operators with potentials V(x) that obey (for all \epsilon > 0): V(x) \geq - \epsilon |x|^2 - C_\epsilon. Even though e^{-tH} is an unbounded operator, any \phi, \psi \in L^2 with compact support lie in D(e^{-tH}) and <\phi, e^{-tH}\psi> is given by a Feynman-Kac formula.
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