New Feynman-Kac type formula (Q1322728): Difference between revisions

The authors construct a process \(Z^ a\), somehow in the sense of nonstandard analysis (called 4-asymptotic-stable motion): \[ (\Omega,A,P) \times (\Omega, A, P) \to (\mathbb{C}^ \infty, {\mathcal B}^ \infty) \] (where \((\mathbb{C}, {\mathcal B})\) is the Borel measurable space of the complex plane), \[ \mathbb{Z}^ a = (Z^ a_ t : t \geq 0, Z^ a_ t = \bigl( Z^ a_ t(n) \bigr), \quad n \in \mathbb{N}) \] with initial value \(Z^ a = (a,a, \dots)\). This process is used for getting the Feynman-Kac analogue representation of the solution of the following PDE: \[ \partial_ t \psi (z,t) = 18 \partial_ z^ 4 \psi (z,t) + (iaz + b) \psi (z,t),\quad \psi (z,0) = p(z) \text{ (a polynomial) }, z \in \mathbb{C}, \] of which the solution is represented by \[ \psi (z,t) = {\mathcal E} \left \{p(Z^ z_ t) \exp \left( \int^ t_ 0\;(iaZ^ z_ s + b) ds \right) \right\}, \] where \({\mathcal E}\) stands for the generalised expectation that \({\mathcal E}Y\) is defined by \(\lim_{n \to \infty} EY(n)\), \(\forall Y = (Y(n) : n \in \mathbb{N}, Y(n) \in \mathbb{C})\).