arXiv research

Quantum calculus models stock liquidity issues.

The article models illiquid stocks using quantum calculus with asymptotic methods.

In this article we model a financial derivative price as an observable on the market state function. We apply geometric techniques to integrating the Heisenberg Equation of Motion. We illustrate how the non-commutative nature of the model introduces quantum interference effects that can act as either a drag or a boost …

Motivated by the work of Segal and Segal on the Black-Scholes pricing formula in the quantum context, we study a quantum extension of the Black-Scholes equation within the context of Hudson-Parthasarathy quantum stochastic calculus. Our model includes stock markets described by quantum Brownian motion and Poisson proce…

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 usi…

The Accardi-Boukas quantum Black-Scholes framework, provides a means by which one can apply the Hudson-Parthasarathy quantum stochastic calculus to problems in finance. Solutions to these equations can be modelled using nonlocal diffusion processes, via a Kramers-Moyal expansion, and this provides useful tools to under…

To give a Cartan calculus on the extended quantum 3d space, the noncommutative differential calculus on the extended quantum 3d space is extended by introducing inner derivations and Lie derivatives.

Quantum methods model uncertain volatility in financial markets.

A graphical calculus for microformal morphisms simplifies complex operations in classical and quantum physics.

Schrödinger bridge solved with Weyl calculus for quadratic state cost.

We develop a diagrammatic calculus for representations of unrolled quantum $\mathfrak{sl}_2$ at a fourth root of unity. This allows us to prove Seifert-Torres type formulas for certain splice links using quantum algebraic methods, rather than topological methods. Other applications of this diagrammatic calculus given h…

This work has the purpose of applying the concept of Geometric Calculus (Clifford Algebras) to the Fibre Bundle description of Quantum Mechanics. Thus, it is intended to generalize that formulation to curved spacetimes [the base space of the fibre bundle in question] in a more natural way.

We provide the Cartan calculus for bicovariant differential forms on bicrossproduct quantum groups $k(M)\lrbicross kG$ associated to finite group factorizations $X=GM$ and a field $k$. The irreducible calculi are associated to certain conjugacy classes in $X$ and representations of isotropy groups. We find the full ext…

The differential calculus on the quantum supergroup GL$_q(1| 1)$ was introduced by Schmidke {\it et al}. (1990 {\it Z. Phys. C} {\bf 48} 249). We construct a differential calculus on the quantum supergroup GL$_q(1| 1)$ in a different way and we obtain its quantum superalgebra. The main structures are derived without an…

The paper uses quaternions to model quantum learning on devices.

The paper generalizes a theorem for quantum flag manifolds.

We construct a two-parameter covariant differential calculus on the quantum $h$-exterior plane. We also give a deformation of the two-dimensional fermionic phase space.

In this paper we construct the Differential calculus on the Hopf Group Coalgebra introduced by Turaev [10]. We proved that the concepts introduced by S.L.Woronowicz in constructing Differential calculus on Hopf Compact Matrix Pseudogroups (Quantum Groups)[7] can be adapted to serve again in our construction.

Simplified calculus for semimartingales makes complex transformations easier.

The relationship between expectation and price is commonly established with two principles: no-arbitrage, which asserts that both maps are positive; and equivalence, which asserts that the maps share the same null events. Constructed from the Arrow-Debreu securities, classical and quantum models of economics are then d…

We establish a calculus for branched spines of 3-manifolds by means of branched Matveev-Piergallini moves and branched bubble-moves. We briefly indicate some of its possible applications in the study and definition of State-Sum Quantum Invariants.

Differential calculus on the quantum quaternionic group GL(1,H$_q$) is introduced.

Quantum affine bundles are quantum principal bundles with affine quantum structure groups. A general theory of quantum affine bundles is presented. In particular, a detailed analysis of differential calculi over these bundles is performed, including the description of a natural differential calculus over the structure …

We extend projectively equivariant quantization and symbol calculus to symbols of pseudo-differential operators. An explicit expression in terms of hypergeometric functions with noncommutative arguments is given. Some examples are worked out, one of them yielding a quantum length element on $S^3$.

We analyze quantum Yang-Mills theory on $\mathbb{R}^2$ using a novel discretization method based on an algebraic analogue of stochastic calculus. Such an analogue involves working with "Gaussian" free fields whose covariance matrix is indefinite rather than positive definite. Specifically, we work with Lie-algebra valu…

Derives optimal control conditions using calculus of variations.

The two-parametric quantum deformation of the algebra of coordinate functions on the supergroup GL$(1| 1)$ via a contraction of GL$_{p,q}(1| 1)$ is presented. Related differential calculus on the quantum superplane is introduced.

Study on stochastic mean curvature flow on networks using Ito calculus.

The paper focuses on various properties and applications of the homotopy operator, which occurs in the Poincaré lemma. In the first part, an abstract operator calculus is constructed, where the exterior derivative is an abstract derivative and the homotopy operator plays the role of an abstract integral. This operator …

Simplified geometric derivation of quantum A-polynomials for knots.

We present a differential calculus on the extension of the quantum plane obtained considering that the (bosonic) generator $x$ is invertible and furthermore working polynomials in $\ln x$ instead of polynomials in $x$. We call quantum Lie algebra to this extension and we obtain its Hopf algebra structure and its dual H…

The notion of a Kähler structure for a differential calculus was recently introduced by the second author as a framework in which to study the noncommutative geometry of the quantum flag manifolds. It was subsequently shown that any covariant positive definite Kähler structure has a canonically associated triple satisf…

The thesis examines stochastic calculus in option pricing with logistic models and numerical methods.

Researchers link knot Floer homology, Burau representation, and quantum gl(1|1).

In this article we present an intrinsec construction of foliated Brownian motion via stochastic calculus adapted to foliation. The stochastic approach together with a proposed foliated vector calculus provide a natural method to work on harmonic measures. Other results include a decomposition of the Laplacian in terms …

HR-calculus enables adaptive processing of quaternion signals.

Defines a new link invariant for type D webs.

We construct a right-invariant differential calculus on the quantum supergroup GL$_h(1| 1)$ and obtain the $h$-deformed superalgebra of GL$_h(1| 1)$.

Develops geometric Weyl calculus for curved spacetimes.

In this paper we give a construction of Fedosov quantization incorporating the odd variables and an analogous formula to Getzler's pseudodifferential calculus composition formula is obtained. A Fedosov type connection is constructed on the bundle of Weyl tensor Clifford algebras over the cotangent bundle of a Riemannia…

In the framework of risk management, for the study of the sensitivity of pricing and hedging in stochastic financial models to changes of parameters and to perturbations of the stock prices, we propose an error calculus which is an extension of the Malliavin calculus based on Dirichlet forms. Although useful also in ph…

Optimizes reinsurance and investment strategies to minimize ruin probability.

This work has the purpose of applying the concept of Geometric Calculus (Clifford Algebras) to the Fibre Bundle description of Quantum Mechanics. Thus, it is intended to generalize that formulation to curved spacetimes [the base space of the fibre bundle in question] in a more natural way. It starts off with a review o…

A new geometric definition of integration for differential forms.

This study introduces computation of option sensitivities (Greeks) using the Malliavin calculus under the assumption that the underlying asset and interest rate both evolve from a stochastic volatility model and a stochastic interest rate model, respectively. Therefore, it integrates the recent developments in the Mall…

The paper connects calculus, gauge theory, and noncommutative worlds.

We introduce a construction of the differential calculus on the quantum supergroup GL$_{p,q}(1| 1)$. We obtain two differential calculi, respectively, associated with the left and right Cartan-Maurer one-forms. We also obtain the quantum superalgebra of GL$_{p,q}(1| 1)$. Although all of the structures we obtain are der…

The paper provides an efficient method to price path-dependent derivatives using multiscale stochastic volatility models.