Related papers: PT Symmetry, Non-Gaussian Path Integrals, and the …
In this paper, we establish a link between quantum stochastic processes, and nonlocal diffusions. We demonstrate how the non-commutative Black-Scholes equation of Accardi & Boukas (Luigi Accardi, Andreas Boukas, 'The Quantum Black-Scholes…
The Accardi-Boukas quantum Black-Scholes equation can be used as an alternative to the classical approach to finance, and has been found to have a number of useful benefits. The quantum Kolmogorov backward equations, and associated quantum…
In this article we model a financial derivative price as an observable on the market state function. We apply geometric techniques to integrating the Heisenberg Equation of Motion. We illustrate how the non-commutative nature of the model…
Motivated by the work of Segal and Segal on the Black-Scholes pricing formula in the quantum context, we study a quantum extension of the Black-Scholes equation within the context of Hudson-Parthasarathy quantum stochastic calculus. Our…
The basic aspects of the Hudson-Parthasarathy quantum stochastic calculus and of the Accardi-Fagnola-Quaegebeur representation free stochastic calculus are presented. The basic features of the stochastic calculus for the square of white…
The Black-Scholes theory of option pricing has been considered for many years as an important but very approximate zeroth-order description of actual market behavior. We generalize the functional form of the diffusion of these systems and…
The Gray-Scott model is a set of reaction-diffusion equations that describes chemical systems far from equilibrium. Interest in this model stems from its ability to generate spatio-temporal structures, including pulses, spots, stripes, and…
Quantum Stochastic Calculus can be used as a means by which randomness can be introduced to observables acting on a Hilbert space. In this article we show how the mechanisms of Quantum Stochastic Calculus can be used to extend the classical…
We explore the connections between the theories of stochastic analysis and discrete quantum mechanical systems. Naturally these connections include the Feynman-Kac formula, and the Cameron-Martin-Girsanov theorem. More precisely, the notion…
Quantum Finance represents the synthesis of the techniques of quantum theory (quantum mechanics and quantum field theory) to theoretical and applied finance. After a brief overview of the connection between these fields, we illustrate some…
The purpose of this work is to extend the formalism of stochastic calculus to the case of spaces with local anisotropy (modeled as vector bundles with compatible nonlinear and distinguished connections and metric structures and containing…
We present a second-order algorithm for approximating solutions to nonlocal diffusive processes in reaction-diffusion equations. The numerical scheme relies on a quadrature method for the spatial discretization and a second-order…
A brief presentation of the basic concepts in quantum probability theory is given in comparison to the classical one. The notion of quantum white noise, its explicit representation in Fock space, and necessary results of noncommutative…
In this paper we analyze a nonlinear Black--Scholes model for option pricing under variable transaction costs. The diffusion coefficient of the nonlinear parabolic equation for the price $V$ is assumed to be a function of the underlying…
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 present a systematic microscopic derivation of the semiclassical Boltzmann equation for band structures with the finite Berry curvature based on Keldysh technique of nonequilibrium systems. In the analysis, an ac electrical driving field…
A non-linear Black-Scholes-type equation is studied within counterparty risk models. The classical hypothesis on the uniform Lipschitz-continuity of the non-linear reaction function allows for an equivalent transformation of the semi-linear…
In this paper we provide an extensive classification of one and two dimensional diffusion processes which admit an exact solution to the Kolmogorov (and hence Black-Scholes) equation (in terms of hypergeometric functions). By identifying…
The main goal of these notes is to give an introduction to the mathematics of quantum noise and some of its applications in non-equilibrium statistical mechanics. We start with some reminders from the theory of classical stochastic…
This paper considers linear-quadratic control of a non-linear dynamical system subject to arbitrary cost. I show that for this class of stochastic control problems the non-linear Hamilton-Jacobi-Bellman equation can be transformed into a…