对于马尔科夫过程的费曼-卡克公式的概括
Victor E Gluzberg1, Yuri A Katz2,3
1PTC, PTC drive, 1, Haifa 3490002, Israel.
Physical review. E
|November 18, 2025
概括
这项研究扩展了一般马尔科夫过程的费曼-卡克方程,为扩散,跳跃扩散和重置系统提供了封闭形式的解决方案. 一般化框架为复杂动态的随机建模提供了新的见解.
科学领域:
- 随机过程 随机过程
- 数学物理学的数学物理.
- 计算金融是指计算金融.
背景情况:
- 费曼-卡克方程对于解决随机微分方程至关重要.
- 现有的模型往往在复杂的马尔科夫过程中扎,例如跳跃和政权切换.
- 需要一个统一的框架来处理不同的随机动态.
研究的目的:
- 在一般的马尔科夫过程中向前和向后扩展费曼-卡克方程.
- 将这些方程专门用于各种模型,包括扩散,跳转扩散和重置系统.
- 用各种随机过程模型说明形式主义的力量.
主要方法:
- 向前和向后的费曼-卡克方程的概括.
- 对于马尔科夫过程的区分查普曼-科尔莫戈罗夫方程的应用.
- 导出各种随机模型的闭式解决方案.
主要成果:
- 对于任意的初始/最终条件,提供封闭形式的解决方案.
- 该框架成功地模拟了扩散,随着漂移的跳转扩散,调节切换和随着重置的混合系统.
- 分析了一种具有平均逆转和无关联状态的新型模型,它偏离了传统假设.
结论:
- 扩展的费曼-卡克形式主义为各种随机过程提供了一种统一的方法.
- 该方法自然地包含了在随机混合系统中的重置现象.
- 这项工作为分析物理,金融和其他领域的复杂系统提供了强大的工具.
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