Related papers: Modelling Illiquid Stocks Using Quantum Stochastic…
We investigate the behavior of stocks in daily price-limited stock markets by purposing a quantum spatial-periodic harmonic model. The stock price is presumed to oscillate and damp in a quantum spatial-periodic harmonic oscillator potential…
We consider a multi-stock continuous time incomplete market model with random coefficients. We study the investment problem in the class of strategies which do not use direct observations of the appreciation rates of the stocks, but rather…
A *-algebraic indefinite structure of quantum stochastic (QS) calculus is introduced and a continuity property of generalized nonadapted QS integrals is proved under the natural integrability conditions in an infinitely dimensional nuclear…
The theory of stochastic processes impacts both physical and social sciences. At the molecular scale, stochastic dynamics is ubiquitous because of thermal fluctuations. The Fokker-Plank-Smoluchowski equation models the time evolution of the…
We derive quantitative estimates for large stochastic systems of interacting particles perturbed by both idiosyncratic and environmental noises, as well as singular kernels. We prove that the (mollified) empirical process converges to the…
Solving the stationary nonlinear Fokker-Planck equations is important in applications and examples include the Poisson-Boltzmann equation and the two layer neural networks. Making use of the connection between the interacting particle…
We perform a numerical approximation of coherent sets in finite-dimensional smooth dynamical systems by computing singular vectors of the transfer operator for a stochastically perturbed flow. This operator is obtained by solution of a…
The time-fractional Fokker-Planck equation is a key model for characterizing anomalous diffusion, stochastic transport, and non-equilibrium statistical mechanics with applications in finance, chaotic dynamics, optical physics, and…
We address the problem of estimating unknown model parameters and state variables in stochastic reaction processes when only sparse and noisy measurements are available. Using an asymptotic system size expansion for the backward equation we…
We use standard perturbation techniques originally formulated in quantum (statistical) mechanics in the analysis of a toy model of a stock market which is given in terms of bosonic operators. In particular we discuss the probability of…
In this paper we continue our descriptions of stock markets in terms of some non abelian operators which are used to describe the portfolio of the various traders and other {\em observable} quantities. After a first prototype model with…
We consider an illiquid financial market with different regimes modeled by a continuous-time finite-state Markov chain. The investor can trade a stock only at the discrete arrival times of a Cox process with intensity depending on the…
In this article, we study quantum randomness of stochastic cosmological particle production scenario using quantum corrected higher order Fokker Planck equation. Using the one to one correspondence between particle production in presence of…
Quantum computing offers a promising avenue for advancing computational methods in science and engineering. In this work, we introduce the quantum asymptotic numerical method (qANM), a framework for solving nonlinear problems using 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…
The problem of quantum harmonic oscillator with "regular+random" square frequency, subjected to "regular+random external force, is considered in framework of representation of the wave function by complex-valued random process. Average…
We propose a method to analyze the dynamics of systems exhibiting slow relaxation which is based on mesoscopic non-equilibrium thermodynamics. The method allows us to obtain kinetic equations of the Fokker-Planck type for the probability…
We propose a tomographic approach to study quantum nonlocality in continuous variable quantum systems. On one hand we derive a Bell-like inequality for measured tomograms. On the other hand, we introduce pseudospin operators whose…
We consider a system of Fokker-Planck-Kolmogorov (FPK) equations, where the dependence of the coefficients is nonlinear and nonlocal in time with respect to the unknowns. We extend the numerical scheme proposed and studied recently by the…
We perform a detailed analysis of the non stationary solutions of the evolution (Fokker-Planck) equations associated to either stationary or non stationary quantum states by the stochastic mechanics. For the excited stationary states of…