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A Nonlocal Approach to The Quantum Kolmogorov Backward Equation and Links to Noncommutative Geometry

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  • Will Hicks

Abstract

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 Fokker-Planck equations, that arise from this general framework, are derived using the Hudson-Parthasarathy quantum stochastic calculus. In this paper we show how these equations can be derived using a nonlocal approach to quantum mechanics. We show how nonlocal diffusions, and quantum stochastic processes can be linked, and discuss how moment matching can be used for deriving solutions.

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  • Will Hicks, 2019. "A Nonlocal Approach to The Quantum Kolmogorov Backward Equation and Links to Noncommutative Geometry," Papers 1905.07257, arXiv.org.
    • Handle: RePEc:arx:papers:1905.07257
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    File URL: http://arxiv.org/pdf/1905.07257
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    Cited by:

    1. Will Hicks, 2020. "Pseudo-Hermiticity, Martingale Processes and Non-Arbitrage Pricing," Papers 2009.00360, arXiv.org, revised Apr 2021.
    2. Will Hicks, 2023. "Modelling Illiquid Stocks Using Quantum Stochastic Calculus," Papers 2302.05243, arXiv.org.
    3. Will Hicks, 2019. "Closed Quantum Black-Scholes: Quantum Drift and the Heisenberg Equation of Motion," Papers 1911.11475, arXiv.org, revised Jan 2020.
    4. Will Hicks, 2023. "Modelling Illiquid Stocks Using Quantum Stochastic Calculus: Asymptotic Methods," Papers 2302.05256, arXiv.org.

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