where ∆ is the Laplace operator. Here σ > 0 is a constant (the diffusion constant). It has dimensions of distance squared over time, so H0 has dimensions of inverse time. The operator exp(−tH0) for t > 0 is an self-adjoint integral operator, which gives the solution of the heat or diffusion equation. Here t is the time parameter. It is easy to solve for this operator by Fourier transforms. Sinc...

We prove a Feynman-Kac formula for Schrödinger operators with potentials V (x) that obey (for all ε > 0) V (x) ≥ −ε|x| − Cε. Even though e is an unbounded operator, any φ, ψ ∈ L with compact support lie in D(e) and 〈φ, eψ〉 is given by a Feynman-Kac formula.

In this paper we obtain a Feynman-Kac formula for the solution of a fractional stochastic heat equation driven by fractional noise. One of the main difficulties is to show the exponential integrability of some singular nonlinear functionals of symmetric stable Lévy motion. This difficulty will be overcome by a technique developed in the framework of large deviation. This Feynman-Kac formula is ...

We study the parabolic integral kernel associated with the weighted Laplacian with a potential. For manifold with a pole we deduce formulas and estimates for the derivatives of the Feynman-Kac kernels and their logarithms, these are in terms of a ‘Gaussian’ term and the semi-classical bridge. Assumptions are on the Riemannian data. AMS Mathematics Subject Classification : 60Gxx, 60Hxx, 58J65, 5...

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 between different dynamical equations for the...

The population growth, is increase in the number of individuals in population and it depends on some random environment effects. There are several different mathematical models for population growth. These models are suitable tool to predict future population growth. One of these models is logistic model. In this paper, by using Feynman-Kac formula, the Adomian decomposition method is applied to ...

A generalized Feynman–Kac formula based on the Wiener measure is presented. Within the setting of a quantum particle in an electromagnetic field it yields the standard Feynman–Kac formula for the corresponding Schrödinger semigroup. In this case rigorous criteria for its validity are compiled. Finally, phase–space path–integral representations for more general quantum Hamiltonians are derived. ...

Th Feynman-Kac Formula offers an intuitive approach to solve PDE of financial assets. Traditionally, it is used to model financial assets without default risk.This paper demonstrates the usefulness of Feynman-Kac formula for pricing certain corporate bond models by revisiting Cathcart and El-Jahel (1998) and Schobel (1999).In the first model, a closed-form formula is derived to replace Cathcart...