Optimal control design for a class of quantum stochastic systems with financial applications
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DOI: 10.1016/j.physa.2018.08.141
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References listed on IDEAS
- Liviu-Adrian Cotfas, 2012. "Finite quantum mechanical model for the stock market," Papers 1208.6146, arXiv.org, revised Sep 2012.
- Zhang, Chao & Huang, Lu, 2010. "A quantum model for the stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(24), pages 5769-5775.
- Liviu-Adrian Cotfas, 2012. "A finite-dimensional quantum model for the stock market," Papers 1204.4614, arXiv.org, revised Sep 2012.
- N. El Karoui & S. Peng & M. C. Quenez, 1997. "Backward Stochastic Differential Equations in Finance," Mathematical Finance, Wiley Blackwell, vol. 7(1), pages 1-71, January.
- Chao Zhang & Lu Huang, 2010. "A quantum model for the stock market," Papers 1009.4843, arXiv.org, revised Oct 2010.
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Keywords
Quantum stochastic differential equation; Quantum Brownian motion; Quantum probability space; portfolio optimization;All these keywords.
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