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 Mathematics , 2006, Abstract: We study large deviations principles for $N$ random processes on the lattice $\Z^d$ with finite time horizon $[0,\beta]$ under a symmetrised measure where all initial and terminal points are uniformly given by a random permutation. That is, given a permutation $\sigma$ of $N$ elements and a vector $(x_1,...,x_N)$ of $N$ initial points we let the random processes terminate in the points $(x_{\sigma(1)},...,x_{\sigma(N)})$ and then sum over all possible permutations and initial points, weighted with an initial distribution. There is a two-level random mechanism and we prove two-level large deviations principles for the mean of empirical path measures, for the mean of paths and for the mean of occupation local times under this symmetrised measure. The symmetrised measure cannot be written as any product of single random process distributions. We show a couple of important applications of these results in quantum statistical mechanics using the Feynman-Kac formulae representing traces of certain trace class operators. In particular we prove a non-commutative Varadhan Lemma for quantum spin systems with Bose-Einstein statistics and mean field interactions. A special case of our large deviations principle for the mean of occupation local times of $N$ simple random walks has the Donsker-Varadhan rate function as the rate function for the limit $N\to\infty$ but for finite time $\beta$. We give an interpretation in quantum statistical mechanics for this surprising result.
 Michael Hinz Mathematics , 2014, Abstract: Given a (conservative) symmetric Markov process on a metric space we consider related bilinear forms that generalize the energy form for a particle in an electromagnetic field. We obtain one bilinear form by semigroup approximation and another, closed one, by using a Feynman-Kac-It\^o formula. If the given process is Feller, its energy measures have densities and its jump measure has a kernel, then the two forms agree on a core and the second is a closed extension of the first. In this case we provide the explicit form of the associated Hamiltonian.
 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 $\Gamma_{0}$.
 E. Feigin Mathematics , 2006, Abstract: In this paper we derive two bosonic (alternating sign) formulas for branching functions for general affine Kac-Moody Lie algebra $\g$. Both formulas are given in terms of the Weyl group and string functions of $\g$.
 Mathematics , 2013, Abstract: We study a discrete time multitype branching random walk on a finite space with finite set of types. Particles follow a Markov chain on the spatial space whereas offspring distributions are given by a random field that is fixed throughout the evolution of the particles. Our main interest lies in the averaged (annealed) expectation of the population size, and its long-time asymptotics. We first derive, for fixed time, a formula for the expected population size with fixed offspring distributions, which is reminiscent of a Feynman-Kac formula. We choose Weibull-type distributions with parameter $1/\rho_{ij}$ for the upper tail of the mean number of $j$ type particles produced by an $i$ type particle. We derive the first two terms of the long-time asymptotics, which are written as two coupled variational formulas, and interpret them in terms of the typical behavior of the system.
 Physics , 2011, DOI: 10.1103/PhysRevE.85.011132 Abstract: By building upon a Feynman-Kac formalism, we assess the distribution of the number of hits in a given region for a broad class of discrete-time random walks with scattering and absorption. We derive the evolution equation for the generating function of the number of hits, and complete our analysis by examining the moments of the distribution, and their relation to the walker equilibrium density. Some significant applications are discussed in detail: in particular, we revisit the gambler's ruin problem and generalize to random walks with absorption the arcsine law for the number of hits on the half-line.
 Huyen Pham Mathematics , 2014, Abstract: The classical Feynman-Kac formula states the connection between linear parabolic partial differential equations (PDEs), like the heat equation, and expectation of stochastic processes driven by Brownian motion. It gives then a method for solving linear PDEs by Monte Carlo simulations of random processes. The extension to (fully)nonlinear PDEs led in the recent years to important developments in stochastic analysis and the emergence of the theory of backward stochastic differential equations (BSDEs), which can be viewed as nonlinear Feynman-Kac formulas. We review in this paper the main ideas and results in this area, and present implications of these probabilistic representations for the numerical resolution of nonlinear PDEs, together with some applications to stochastic control problems and model uncertainty in finance.
 Physics , 2012, DOI: 10.1088/1751-8113/45/42/425002 Abstract: The evolution of several physical and biological systems, ranging from neutron transport in multiplying media to epidemics or population dynamics, can be described in terms of branching exponential flights, a stochastic process which couples a Galton-Watson birth-death mechanism with random spatial displacements. Within this context, one is often called to assess the length $\ell_V$ that the process travels in a given region $V$ of the phase space, or the number of visits $n_V$ to this same region. In this paper, we address this issue by resorting to the Feynman-Kac formalism, which allows characterizing the full distribution of $\ell_V$ and $n_V$ and in particular deriving explicit moment formulas. Some other significant physical observables associated to $\ell_V$ and $n_V$, such as the survival probability, are discussed as well, and results are illustrated by revisiting the classical example of the rod model in nuclear reactor physics.
 Physics , 2014, DOI: 10.1209/0295-5075/107/30001 Abstract: Characterizing the occupation statistics of a radiation flow through confined geometries is key to such technological issues as nuclear reactor design and medical diagnosis. This amounts to assessing the distribution of the travelled length $\ell$ and the number of collisions $n$ performed by the underlying stochastic transport process, for which remarkably simple Cauchy-like formulas were established in the case of branching Pearson random walks with exponentially distributed jumps. In this Letter, we show that such formulas strikingly carry over to the much broader class of branching processes with arbitrary jumps, provided that scattering is isotropic and the average jump size is finite.
 Jianzhong Lin Mathematics , 2012, Abstract: In this paper we show the existence and form uniqueness of a solution for multidimensional backward stochastic differential equations driven by a multidimensional L\'{e}vy process with moments of all orders. The results are important from a pure mathematical point of view as well as in the world of finance: an application to Clark-Ocone and Feynman-Kac formulas for multidimensional L\'{e}vy processes is presented. Moreover, the Feynman-Kac formula and the related partial differential integral equations provide an analogue of the famous Black-Scholes partial differential equation and thus can be used for the purpose of option pricing in a multidimensional L\'{e}vy market.
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