arXiv research

In this paper, we aim to understand Residual Network (ResNet) in a scientifically sound way by providing a bridge between ResNet and Feynman path integral. In particular, we prove that the effect of residual block is equivalent to partial differential equation, and the ResNet transforming process can be equivalently co…

Many introductory courses in quantum mechanics include Feynman's time-slicing definition of the path integral, with a complete derivation of the propagator in the simplest of cases. However, attempts to generalize this, for instance to non-quadratic potentials, encounter formidable analytic issues in showing the succes…

Formalizes quantum path integrals using groupoids and differential forms.

In this paper we analytically study the problem of pricing an arithmetically averaged Asian option in the path integral formalism. By a trick about the Dirac delta function, the measure of the path integral is defined by an effective action functional whose potential term is an exponential function. This path integral …

The paper develops methods to price and hedge options in path-dependent stock models.

We give a pragmatic/pedagogical discussion of using Euclidean path integral in asset pricing. We then illustrate the path integral approach on short-rate models. By understanding the change of path integral measure in the Vasicek/Hull-White model, we can apply the same techniques to "less-tractable" models such as the …

Improved path integral method for financial derivatives pricing.

Following Feynman's prescription for constructing a path integral representation of the propagator of a quantum theory, a short-time approximation to the propagator for imaginary time, N=1 supersymmetric quantum mechanics on a compact, even-dimensional Riemannian manifold is constructed. The path integral is interprete…

This is a simple mathematical introduction into Feynman diagram technique, which is a standard physical tool to write perturbative expansions of path integrals near a critical point of the action. I start from a rigorous treatment of a finite dimensional case (which actually belongs more to multivariable calculus than …

These notes were inspired by the course ''Quantum Field Theory from a Functional Integral Point of View'' given at the University of Zurich in Spring 2017 by Santosh Kandel. We describe Feynman's path integral approach to quantum mechanics and quantum field theory from a functional integral point of view, where the mai…

Paper rigorously defines Feynman graph integrals on Kähler manifolds.

Holomorphic analogs of Feynman integrals are shown to be finite.

This is an introduction to Wiener measure and the Feynman-Kac formula on general Riemannian manifolds for Riemannian geometers with little or no background in stochastics. We explain the construction of Wiener measure based on the heat kernel in full detail and we prove the Feynman-Kac formula for Schrödinger operators…

We show how effective-potential path-integrals methods, stemming on a simple and nice idea originally due to Feynman and successfully employed in Physics for a variety of quantum thermodynamics applications, can be used to develop an accurate and easy-to-compute semi-analytical approximation of transition probabilities…

Unified kernel framework extends to stochastic systems, improving numerical stability.

This paper gives a rigorous interpretation of a Feynman path integral on a Riemannian manifold M with non-positive sectional curvature. A $L^2$ Riemannian metric $G_P$ is given on the space of piecewise geodesic paths $H_P(M)$ adapted to the partition $P$ of $[0,1]$, whence a finite-dimensional approximation of Wiener …

We extend the Feynman-Kac formula for Schrödinger type operators on vector bundles over noncompact Riemannian manifolds to possibly very singular potentials that appear in hydrogen like quantum mechanical problems and that need not be bounded from below or locally square integrable. This path integral formula is then u…

The Constant Elasticity of Variance (CEV) model significantly outperforms the Black-Scholes (BS) model in forecasting both prices and options. Furthermore, the CEV model has a marked advantage in capturing basic empirical regularities such as: heteroscedasticity, the leverage effect, and the volatility smile. In fact, …

New method recovers BSDE from financial data without ergodicity.

We prove Bismut-type formulae for the first and second derivatives of a Feynman-Kac semigroup on a complete Riemannian manifold. We derive local estimates and give bounds on the logarithmic derivatives of the integral kernel. Stationary solutions are also considered. The arguments are based on local martingales, althou…

In this short note we outline a simple probabilistic proof of the Gauss-Bonnet formula for compact Riemannian manifolds with boundary, which adapts to this setting an argument due to Hsu \cite{Hs1,Hs2} in the closed case. The new technical ingredient is the Feynman-Kac formula for differential forms satisfying absolute…

Scannell and Sinha considered a spectral sequence to calculate the rational homotopy groups of spaces of long knots in n-dimensional Euclidean space, for n greater than or equal to 4. At the end of their paper they conjecture that when n is odd, the terms on the antidiagonal on the second page precisely give the space …

A new method integrates forms on Riemann surfaces, leading to modular forms.

Geometric approach to Dirac operator evolution on spacetimes.

This study quantifies systemic importance in global banks using a continuous framework that amplifies localized shocks.

Understanding the asymptotic behavior of wide networks is of considerable interest. In this work, we present a general method for analyzing this large width behavior. The method is an adaptation of Feynman diagrams, a standard tool for computing multivariate Gaussian integrals. We apply our method to study training dyn…

A graphical calculus for microformal morphisms simplifies complex operations in classical and quantum physics.

The paper develops a Feynman-Kac formula for perturbations of order ≤ 1 in noncommutative geometry.

Modular operads are a special type of operad: in fact, they bear the same relationship to operads that graphs do to trees (i.e. simply connected graphs). One of the basic examples of a modular operad is the collection of Deligne-Mumford-Knudsen moduli spaces $\bar{M}_{g,n}$ of stable pointed algebraic curves; hence the…

The article constructs Feynman propagators for normally hyperbolic operators on curved spacetimes.

New method prices interest rate derivatives without Monte Carlo, achieving high accuracy and speed.

We explain how the usual algebras of Feynman diagrams behave under the grope degree introduced in "Grope cobordism of classical knots." We show that the Kontsevich integral rationally classifies grope cobordisms of knots in 3-space when the ``class'' is used to organize gropes. This implies that the grope cobordism equ…

We propose here a new discretization method for a class continuum gauge theories which action functionnals are polynomials of the curvature. Based on the notion of holonomy, this discretization procedure appears gauge-invariant for discretized analogs of Yang-Mills theories, and hence gauge-fixing is fully rigorous for…

Index theorems for the Dirac operator allow one to study spinors on manifolds with boundary and torsion. We analyse the modifications of the boundary Chern-Simons correction and APS eta invariant in the presence of torsion. The bulk contribution must also be modified and is computed using a supersymmetric quantum mecha…

We give a generalization of Fukaya's Morse homotopy theoretic approach for 2-loop Chern--Simons perturbation theory to 3-valent graphs with arbitrary number of loops at least 2. We construct a sequence of invariants of integral homology 3-spheres with values in a space of 3-valent graphs (Jacobi diagrams or Feynman dia…

Stochastic delay differential equations (SDDE's) have been used for financial modeling. In this article, we study a SDDE obtained by the equation of a CIR process, with an additional fixed delay term in drift; in particular, we prove that there exists a unique strong solution (positive and integrable) which we call fix…

We refine a Le and Murakami uniqueness theorem for the Kontsevich Integral in order to specify the relationship between the two (possibly equal) main universal link invariants: the Kontsevich Integral and the perturbative expression of the Chern-Simons theory. As a corollary, we prove that the Altschuler and Freidel an…

FlowKac solves high-dimensional Fokker-Planck equations efficiently.

A new method uses a product of experts with Dirichlet variables to approximate complex distributions.

In a rigorous construction of the path integral for supersymmetric quantum mechanics on a Riemann manifold, based on Bär and Pfäffle's use of piecewise geodesic paths, the kernel of the time evolution operator is the heat kernel for the Laplacian on forms. The path integral is approximated by the integral of a form on …

Recent results show that important singularities in General Relativity can be naturally described in terms of finite and invariant canonical geometric objects. Consequently, one can write field equations which are equivalent to Einstein's at non-singular points, but in addition remain well-defined and smooth at singula…

We prove the quasimodularity of generating functions for counting torus covers, with and without Siegel-Veech weight. Our proof is based on analyzing decompositions of flat surfaces into horizontal cylinders. The quasimodularity arise as contour integral of quasi-elliptic functions. It provides an alternative proof of …

Kricker constructed a knot invariant Z^{rat} valued in a space of Feynman diagrams with beads. When composed with the so called "hair" map H, it gives the Kontsevich integral of the knot. We introduce a new grading on diagrams with beads and use it to show that a non trivial element constructed from Vogel's zero diviso…

A hyperlink is a finite set of non-intersecting simple closed curves in $\mathbb{R} \times \mathbb{R}^3$. We compute the Wilson Loop observable using a path integral with an Einstein-Hilbert action. Using axial-gauge fixing, we can write this path integral as the limit of a sequence of Chern-Simons integrals, studied e…

We study a quantum system in a Riemannian manifold M on which a Lie group G acts isometrically. The path integral on M is decomposed into a family of path integrals on a quotient space Q=M/G and the reduced path integrals are completely classified by irreducible unitary representations of G. It is not necessary to assu…

The paper generalizes Feynman-Kac formula for volatility uncertainty.

Researchers calculate the Ray-Singer Torsion for $S^{1}$ bundles.

Develops a new calculus for stochastic processes with occupation flows.