The Feynman–Kac formula, named after
Richard Feynman
Richard Phillips Feynman (; May 11, 1918 – February 15, 1988) was an American theoretical physicist, known for his work in the path integral formulation of quantum mechanics, the theory of quantum electrodynamics, the physics of the superflu ...
and
Mark Kac
Mark Kac ( ; Polish: ''Marek Kac''; August 3, 1914 – October 26, 1984) was a Polish American mathematician. His main interest was probability theory. His question, " Can one hear the shape of a drum?" set off research into spectral theory, the ...
, establishes a link between
parabolic partial differential equation
A parabolic partial differential equation is a type of partial differential equation (PDE). Parabolic PDEs are used to describe a wide variety of time-dependent phenomena, including heat conduction, particle diffusion, and pricing of derivati ...
s (PDEs) and
stochastic process
In probability theory and related fields, a stochastic () or random process is a mathematical object usually defined as a family of random variables. Stochastic processes are widely used as mathematical models of systems and phenomena that appea ...
es. 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 resulted, which proves rigorously the real case of Feynman's
path integrals. The complex case, which occurs when a particle's spin is included, is still unproven.
It offers a method of solving certain partial differential equations by simulating random paths of a stochastic process. Conversely, an important class of expectations of random processes can be computed by deterministic methods.
Theorem
Consider the partial differential equation
:
defined for all
and