2000 character limit reached
A Nonlocal Approach to The Quantum Kolmogorov Backward Equation and Links to Noncommutative Geometry (1905.07257v1)
Published 17 May 2019 in q-fin.MF
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.