Related papers: Modelling Illiquid Stocks Using Quantum Stochastic…
In this paper, we study the asymptotic behavior of a class of nonlinear Fokker-Planck type equations in a bounded domain with periodic boundary conditions. The system is motivated by our study of grain boundary dynamics, especially under…
This paper studies the portfolio optimization problem when the investor's utility is general and the return and volatility of the risky asset are fast mean-reverting, which are important to capture the fast-time scale in the modeling of…
Contemporary scientific studies often rely on the understanding of complex quantum systems via computer simulation. This paper initiates the statistical study of quantum simulation and proposes a Monte Carlo method for estimating…
We consider a quantum mechanical system represented in phase space (referred to hereafter as "Wigner space"), coupled to a harmonic oscillator bath. We derive quantum hierarchal Fokker-Planck (QHFP) equations not only in real time, but also…
We investigate variational methods for finding approximate solutions to the Fokker-Planck equation, especially in cases lacking detailed balance. These schemes fall into two classes: those in which a Hermitian operator is constructed from…
The stochastic approach aims at describing the long-wavelength part of quantum fields during inflation by a classical stochastic theory. It is usually formulated in terms of Langevin equations, giving rise to a Fokker-Planck equation for…
Due to significant manufacturing process variations, the performance of integrated circuits (ICs) has become increasingly uncertain. Such uncertainties must be carefully quantified with efficient stochastic circuit simulators. This paper…
A subjective survey of stochastic models of quantum mechanics is given along with a discussion of some key radiative processes, the clues they offer, and the difficulties they pose for this program. An electromagnetic basis for deriving…
In this paper we develop high-order asymptotic-preserving methods for the spatially inhomogeneous quantum Boltzmann equation. We follow the work in Li and Pareschi, where asymptotic preserving exponential Runge-Kutta methods for the…
In this paper we consider a nonlinear Fokker-Planck equation with asymptotically small parameters. It describes the diffusion of finite-size particles in the presence of a fixed distribution of obstacles in the limit of low-volume fraction.…
Beginning with several basic hypotheses of quantum mechanics, we give a new quantum model in econophysics. In this model, we define wave functions and operators of the stock market to establish the Schr\"odinger equation for the stock…
We obtain equilibration rates for a one-dimensional nonlocal Fokker-Planck equation with time-dependent diffusion coefficient and drift, modeling the relaxation of a large swarm of robots, feeling each other in terms of their distance,…
We derive a mesoscopic description of the behavior of a simple financial market where the agents can create their own portfolio between two investment alternatives: a stock and a bond. The model is derived starting from the…
We start with the idea that open quantum systems can be used to represent financial markets by modelling events from the external environment and their impact on the market price. We show how to characterize distinct orbits of the time…
We develop a stochastic approach to a non de Sitter Universe in a gauge-invariant way and obtain a system of Langevin-type equations which may be considered to be renormalization group equations for the long wave parts of the scalar fields…
We analyze complexity of financial (and general economic) processes by comparing classical and quantum-like models for randomness. Our analysis implies that it might be that a quantum-like probabilistic description is more natural for…
Stochastic Spatio-Temporal processes are prevalent across domains ranging from modeling of plasma to the turbulence in fluids to the wave function of quantum systems. This letter studies a measure-theoretic description of such systems by…
We propose an estimation methodology for a semiparametric quantile factor panel model. We provide tools for inference that are robust to the existence of moments and to the form of weak cross-sectional dependence in the idiosyncratic error…
The most frequently used in physical application diffusive (based on the Fokker-Planck equation) model leans upon the assumption of small jumps of a macroscopic variable for each given realization of the stochastic process. This imposes…
We present a computational alternative to probabilistic simulations for non-smooth stochastic dynamical systems that are prevalent in engineering mechanics. As examples, we target (1) stochastic elasto-plastic problems, which involve…