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Solvable integrals of stochastic processes and q-deformed processes

Stephan Lawi

Published Jan 1, 2004• 0 citations
OpenAlex

Abstract

Generating functions for integrals of stochastic processes have been known in analytically closed form for just a handful of processes: namely, the Ornstein-Uhlenbeck, the Cox-Ingerssol-Ross (CIR) process and the exponential of Brownian motion. In virtue of their analytical tractability, these processes are extensively used in modelling applications. In the first part of the thesis, broad extensions of these process classes are constructed. The known models are shown to fit into a classification scheme for diffusion processes for which generating functions for integrals of the process and transition probability densities can be evaluated as integrals of hypergeometric functions against the spectral measure for certain self-adjoint operators. This scheme also extends to a class of finite-state Markov processes related to hypergeometric polynomials in the discrete series of the Askey classification tree. We also extend to quantum mechanics the technique of stochastic subordination, by means of which one can express any semi-martingale as a time-changed Brownian motion. Stochastic subordination preserves the Markov property of the process, whereas quantum subordination preserves quantum probability in the dynamics. As applications, we consider two versions of the q-deformed harmonic oscillator in both ordinary and imaginary time and show how the related q-deformed algebras can be understood as different patterns of time quantization rules. The second part of the thesis concerns the analogy between q -deformation and stochastic subordination. It is shown that the Poisson kernel of stochastic processes on chains of arbitrary length can be expressed in terms of the q-Racah polynomials, the most general q-deformed orthogonal polynomials in the discrete series of the Askey scheme. We give a new interpretation of this kernel as the transition probability density for a subordinated Markov process with only nearest neighbor hops. As an application, we give an elementary proof and extend a positivity result for a class of Poisson kernels which Gasper and Rahman established with direct methods.

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Generating functions for integrals of stochastic processes have been known in analytically closed form for just a handful of processes: namely, the Ornstein-Uhlenbeck, the Cox-Ingerssol-Ross (CIR) process and the exponential of Brownian motion. In virtue of their analytical tractability, these processes are extensively used in modelling applications. In the first part of the thesis, broad extensions of these process classes are constructed. The known models are shown to fit into a classification scheme for diffusion processes for which generating functions for integrals of the process and transition probability densities can be evaluated as integrals of hypergeometric functions against the spectral measure for certain self-adjoint operators. This scheme also extends to a class of finite-state Markov processes related to hypergeometric polynomials in the discrete series of the Askey classification tree. We also extend to quantum mechanics the technique of stochastic subordination, by means of which one can express any semi-martingale as a time-changed Brownian motion. Stochastic subordination preserves the Markov property of the process, whereas quantum subordination preserves quantum probability in the dynamics. As applications, we consider two versions of the q-deformed harmonic oscillator in both ordinary and imaginary time and show how the related q-deformed algebras can be understood as different patterns of time quantization rules. The second part of the thesis concerns the analogy between q -deformation and stochastic subordination. It is shown that the Poisson kernel of stochastic processes on chains of arbitrary length can be expressed in terms of the q-Racah polynomials, the most general q-deformed orthogonal polynomials in the discrete series of the Askey scheme. We give a new interpretation of this kernel as the transition probability density for a subordinated Markov process with only nearest neighbor hops. As an application, we give an elementary proof and extend a positivity result for a class of Poisson kernels which Gasper and Rahman established with direct methods.
Martingales are fundamental stochastic process used to model the concept of fair game. They have a multitude of applications in the real world that include, random walks, Brownian motion, gamblers fortunes and survival analysis, Just as commutative integration theory may be realised as a special case of the more general non-commutative theory for integrals, so too, we find classical probability may be realised as a limiting, special case of quantum probability theory. In this thesis we are concerned with the development of multiparameter quantum stochastic integrals extending non-commutative constructions to the general n parameter case, these being multiparameter quantum stochastic integrals over the positive n - dimensional plane, employing martingales as integrator. The thesis extends previous analogues of type one, and type two stochastic integrals, for both Clifford and quasi free representations. As with one and two dimensional parameter sets, the stochastic integrals constructed form orthogonal, centred L2 - martingales, obeying isometry properties. We further explore analogues for weakly adapted processes, properties relating to the resulting quantum stochastic integrals, develop analogues to Fubini’s theorem, and explore applications for quantum stochastic integrals in a security setting.
Many examples of exactly solvable birth and death processes, a typical stationary Markov chain, are presented together with the explicit expressions of the transition probabilities. They are derived by similarity transforming exactly solvable ‘matrix’ quantum mechanics, which is recently proposed by Odake and the author. The (q-)Askey-scheme of hypergeometric orthogonal polynomials of a discrete variable and their dual polynomials play a central role. The most generic solvable birth/death rates are rational functions of q x (x being the population) corresponding to the q-Racah polynomial. 1
The Heisenberg algebra is first deformed with the set of parameters q,l,λ{q, l, λ}q,l,λ to generate a new family of generalized coherent states. In this framework, the matrix elements of relevant operators are exactly computed. A proof on sub-Poissonian character of the statistics of the main deformed states is provided. This property is used to determine a generalized metric. A unified method of calculating structure functions from commutation relations of deformed single-mode oscillator algebras is then presented. A natural approach to building coherent states associated to deformed algebras is deduced. Known deformed algebras are given as illustration. Futhermore, we generalize a class of two-parameter deformed Heisenberg algebras related to meromorphic functions, called R(p,q){\cal R}(p,q)R(p,q)-deformed algebra. Relevant families of coherent states maps are probed and their corresponding hypergeometric series are computed. The latter generalizes known hypergeometric series and gives to a generalization of the binomial theorem. The involved notions of differentiation and integration generalize the usual qqq- and (p,q)(p,q)(p,q)-differentiation and integration. A Hopf algebra structure compatible with the R(p,q){\cal R}(p,q)R(p,q)-algebra is deduced. We succeed in giving a new characterization of Rogers- Szegö polynomials, called R(p,q){\cal R}(p,q)R(p,q)-deformed Rogers-Szegö polynomials, by their three-term recursion relations and the associated quantum algebra built with corresponding creation and annihilation operators. Continuous R(p,q){\cal R}(p,q)R(p,q)-deformed Hermite polynomials and their recursion relation are also deduced. Novel algebraic relations are provided and discussed. The whole formalism is performed in a unified way, generalizing known relevant results which are straightforwardly derived as particular cases.
A note on Meyer's note.- Stochastic integration.- Quantum stochastic parallel transport on non-commutative vector bundles.- Input and output channels in quantum systems and quantum stochastic differential equations.- Some noncommutative Radon-Nikodym Theorems for von Neumann algebras.- Multidimensional quantum diffusions.- An application of de finetti's theorem.- The quantum Langevin equation from the independent-oscillator model.- Quantum poisson processes: Physical motivations and applications.- A noncommutative generalization of conditionally positive definite functions.- Contraction semigroups in L2 over a von neumann algebra.- Survey on a theory of non-commutative stationary markov processes.- Dynamical entropy for quantum systems.- An integral kernel approach to noise.- A note on shifts and cocycles.- Local measures in fock space stochastic calculus and a generalized ito-tanaka formula.- Representation of a class of quantum martingales II.- Conditional expectation in quantum probability.- Mutual quadratic variation and ito's table in quantum stochastic calculus.- On mixing properties of automorphisms of von neumann algebras related to measure space transformations.- First exit time: A theory of stopping times in quantum processes.- A central limit theorem on the free lie group.- Entropy, observability and the generalised second law of thermodynamics.- Remarks on asymptotic properties of groups of the bogoliubov transformations of car c*-algebras.- Linear and non-linear stochastic processes.- Detailed balance and critical slowing down.- Quantum martingales and stochastic integrals.
Many examples of exactly solvable birth and death processes, a typical stationary Markov chain, are presented together with the explicit expressions of the transition probabilities. They are derived by similarity transforming exactly solvable “matrix” quantum mechanics, which is recently proposed by Odake and the author [S. Odake and R. Sasaki, J. Math. Phys. 49, 053503 (2008)]. The (q-) Askey scheme of hypergeometric orthogonal polynomials of a discrete variable and their dual polynomials play a central role. The most generic solvable birth/death rates are rational functions of qx (with x being the population) corresponding to the q-Racah polynomial.