Conditioned Martingales

It is well known that upward conditioned Brownian motion is a three-dimensional Bessel process, and that a downward conditioned Bessel process is a Brownian motion. We give a simple proof for this result, which generalizes to any continuous local martingale and clarifies the role of finite versus infinite time in this setting. As a consequence, we can describe the law of regular diffusions that are conditioned upward or downward.Comment: Corrected several typos, improved formulations. Accepted by Electronic Communications in Probability; Electronic Communications in Probability, 2012, Volume 17, Issue 4

Fault testing quantum switching circuits

Test pattern generation is an electronic design automation tool that attempts to find an input (or test) sequence that, when applied to a digital circuit, enables one to distinguish between the correct circuit behavior and the faulty behavior caused by particular faults. The effectiveness of this classical method is measured by the fault coverage achieved for the fault model and the number of generated vectors, which should be directly proportional to test application time. This work address the quantum process validation problem by considering the quantum mechanical adaptation of test pattern generation methods used to test classical circuits. We found that quantum mechanics allows one to execute multiple test vectors concurrently, making each gate realized in the process act on a complete set of characteristic states in space/time complexity that breaks classical testability lower bounds.Comment: (almost) Forgotten rewrite from 200

Pathwise stochastic integrals for model free finance

We present two different approaches to stochastic integration in frictionless model free financial mathematics. The first one is in the spirit of It\^o's integral and based on a certain topology which is induced by the outer measure corresponding to the minimal superhedging price. The second one is based on the controlled rough path integral. We prove that every "typical price path" has a naturally associated It\^o rough path, and justify the application of the controlled rough path integral in finance by showing that it is the limit of non-anticipating Riemann sums, a new result in itself. Compared to the first approach, rough paths have the disadvantage of severely restricting the space of integrands, but the advantage of being a Banach space theory. Both approaches are based entirely on financial arguments and do not require any probabilistic structure.Comment: Published at http://dx.doi.org/10.3150/15-BEJ735 in the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm

Supermartingales as Radon-Nikodym densities and related measure extensions

Certain countably and finitely additive measures can be associated to a given nonnegative supermartingale. Under weak assumptions on the underlying probability space, existence and (non)uniqueness results for such measures are proven.Comment: Published at http://dx.doi.org/10.1214/14-AOP956 in the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org

Improved Quantum Cost for n-bit Toffoli Gates

We present an n-bit Toffoli gate quantum circuit based on the realization proposed by Barenco, where some of the Toffoli gates in their construction are replaced with Peres gates. This results in a significant cost reduction. Our main contribution is a quantum circuit which simulates the (m+1)-bit Toffoli gate with 32m-96 elementary quantum gates and one garbage bit which is passed unchanged. This paper is a corrected and expanded version of our recent journal publication