Transactions of the American Mathematical Society. "On Distributions of Certain Wiener Functionals". Continuous-time stochastic control and optimisation with financial applications. An Introduction with Applications (6th ed.). Quantum Physics: A Functional Integral Point of View (2 ed.). Conversely, an important class of expectations of random processes can be computed by deterministic methods.Ĭonsider the partial differential equation It offers a method of solving certain partial differential equations by simulating random paths of a stochastic process. The complex case, which occurs when a particle's spin is included, is still an open question. The Feynman–Kac formula resulted, which proves rigorously the real-valued case of Feynman's path integrals. In 1947, when Kac and Feynman were both Cornell faculty, Kac attended a presentation of Feynman's and remarked that the two of them were working on the same thing from different directions. The Feynman–Kac formula, named after Richard Feynman and Mark Kac, establishes a link between parabolic partial differential equations (PDEs) and stochastic processes. Formula relating stochastic processes to partial differential equations
0 Comments
Leave a Reply. |
AuthorWrite something about yourself. No need to be fancy, just an overview. ArchivesCategories |