Modelling Illiquid Stocks Using Quantum Stochastic Calculus: Asymptotic Methods

William Hicks

R. L. Hudson

Will Hicks

This article investigates the Fokker-Planck equations that arise from the application of quantum stochastic calculus to the modelling of illiquid financial markets, using asymptotic methods. We present a power series solution for quantum stochastic processes with a non-zero conservation process. Whilst the series in question are in general divergent, we show they can be used to approximate solutions for longer time frames, and provide estimates for the relative error on the higher order terms.

Will Hicks

This article investigates Fokker-Planck equations (Kolmogorov forward equations) that arise from the application of quantum stochastic calculus to the modelling of illiquid financial markets, using asymptotic methods.We present a power series solution for quantum stochastic processes with a non-zero conservation process.Whilst the series in question are in general divergent, we show they can be used to approximate solutions for longer time frames, and provide estimates for the relative error on the higher order terms.

Stanley Gudder

Kalyan B. Sinha