Related papers: Relativistic Quantum Finance
We here consider a generalization of the Klein-Gordon scalar wave equation which involves a single arbitrary function. The quantization may be viewed as allowing $\hbar$ to be a function of the momentum or wave vector rather than a…
Some problems with the recent stimulating proposal of a ``Gauge Theory of Finance'' by Ilinski and collaborators are outlined. First, the derivation of the log-normal distribution is shown equivalent both in information and mathematical…
This article sets out the framework of algebraic quantum field theory in curved spacetimes, based on the idea of local covariance. In this framework, a quantum field theory is modelled by a functor from a category of spacetimes to a…
We study a linear-fractional Bienaym\'e-Galton-Watson process with a general type space. The corresponding tree contour process is described by an alternating random walk with the downward jumps having a geometric distribution. This leads…
The ring-down phase of black-hole perturbations is governed by the Quasi-Normal modes (QNM) and offer valuable insight into the nature of the objects emitting them. In General relativity, we identify a dimensionless parameter that can…
We establish global existence and decay of solutions of a viscous half Klein-Gordon equation with a quadratic nonlinearity considering initial data, whose Fourier transform is small in L1 cap Linfty. Our analysis relies on the observation…
This work explores the possibility of applying stochastic quantum mechanics to curved spacetimes, with an emphasis on the Schwarzschild black hole. After reviewing the fundamental concepts of this approach, the quantum stochastic equations…
We propose a natural family of higher-order partial differential equations generalizing the second-order Klein-Gordon equation. We characterize the associated model by means of a generalized action for a scalar field, containing…
A classical statistical field theory hidden variable model for the quantized Klein-Gordon model is constructed that preserves relativistic signal locality and is relativistically covariant, but is at the same time relativistically nonlocal,…
We proposed a new type of soliton equation, whose solutions may describe some statistical distributions, for example, Cauchy distribution, normal distribution and student distribution, etc. The equation possesses two characters. Further,…
A new mathematical model for the Black-Scholes equation is proposed to forecast option prices. This model includes new interval for the price of the underlying stock as well as new initial and boundary conditions. Conventional notions of…
We solve the relativistic Klein--Gordon equation for a light particle gravitationally bound to a heavy central mass, with the gravitational interaction prescribed by the metric of a spherically symmetric space-time. Metrics are considered…
In common finance literature, Black-Scholes partial differential equation of option pricing is usually derived with no-arbitrage principle. Considering an asset market, Merton applied the Hamilton-Jacobi-Bellman techniques of his…
We consider a generalization of the variance-gamma (generalized asymmetric Laplace) distribution, defined as a normal mean - variance mixture with a gamma mixing distribution. While this model is typically studied in the univariate setting,…
The logical inference approach to quantum theory, proposed earlier [Ann. Phys. 347 (2014) 45-73], is considered in a relativistic setting. It is shown that the Klein-Gordon equation for a massive, charged, and spinless particle derives from…
We deal with some generalizations on a Black--Scholes model arising in financial mathematics. As novelty in this paper, we consider a variable volatility and abstract functional boundary conditions, which allow us to treat a very large…
The generalized 5D Black-Scholes differential equation with stochastic volatility is derived. The projections of the stochastic evolutions associated with the random variables from an enlarged space or superspace onto an ordinary space can…
The question of general covariance in quantum gravity is considered in the first post-Newtonian approximation. Transformation properties of observable quantities under deformations of a reference frame, induced by variations of the gauge…
We develop a new class of path transformations for one-dimensional diffusions that are tailored to alter their long-run behaviour from transient to recurrent or vice versa. This immediately leads to a formula for the distribution of the…
We consider the Hamiltonian system consisting of a Klein-Gordon vector field and a particle in $\R^3$. The initial date of the system is a random function with a finite mean density of energy which also satisfies a Rosenblatt- or…