Brownian motion in magnetic field: A model for a semi-quantum stochastic process

Sushanta Dattagupta, Jagmeet Singh

Urbashi Satpathi, Supurna Sinha

Suraka Bhattacharjee, Urbashi Satpathi, Supurna Sinha

Anupam Prakash, Yue Sun, Shouvanik Chakrabarti +8 more

We consider the problem of pricing discretely monitored Asian options over $T$ monitoring points where the underlying asset is modeled by a geometric Brownian motion. We provide two quantum algorithms with complexity poly-logarithmic in $T$ and polynomial in $1/ε$, where $ε$ is the additive approximation error. Our algorithms are obtained respectively by using an $O(\log T)$-qubit semi-digital quantum encoding of the Brownian motion that allows for exponentiation of the stochastic process and by analyzing classical Monte Carlo algorithms inspired by the semi-digital encodings. The best quantum algorithm obtained using this approach has complexity $\widetilde{O}(1/ε^{3})$ where the $\widetilde{O}$ suppresses factors poly-logarithmic in $T$ and $1/ε$. The methods proposed in this work generalize to pricing options where the underlying asset price is modeled by a smooth function of a sub-Gaussian process and the payoff is dependent on the weighted time-average of the underlying asset price.

D. G. C. McKeon, Garnet N. Ord

We extend a stochastic model underlying the Dirac equation in 1+1 dimensions to include the electromagnetic field. The model obtains the Dirac equation without requiring a formal analytic continuation. The mechanism, which produces quantum behaviour, is the allowed Brownian motion in time. The microscopic time reversals in the Brownian motion are the source of quantum interference. The electromagnetic field is also obtained from a stochastic model and the interaction with Dirac particles is treated as a scattering process.PACS Nos.: 03.65.-w, 03.20.+i, 05.40.+j

V. P. Belavkin