Stochastic analysis & discrete quantum systems

Abstract: 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 of the quantum canonical transformation is employed for computing the time propagator, in the case of generic dynamical diffusion coefficients. Explicit computation of the path integral leads to a universal expression for the associated measure regardless of the form of the diffusion coefficient and the drift. This computation also reveals that the drift plays the role of a super potential in the usual super-symmetric quantum mechanics sense. Some simple illustrative examples such as the Ornstein-Uhlenbeck process and the multidimensional Black-Scholes model are also discussed. Basic examples of quantum integrable systems such as the quantum discrete non-linear hierarchy (DNLS) and the XXZ spin chain are presented providing specific connections between quantum (integrable) systems and stochastic differential equations (SDEs). The continuum limits of the SDEs for the first two members of the NLS hierarchy turn out to be the stochastic transport and the stochastic heat equations respectively. The quantum Darboux matrix for the discrete NLS is also computed as a defect matrix and the relevant SDEs are derived.