The Quantum Black-Scholes Equation

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 process.Comment: Has appeared in GJPAM, vol. 2, no. 2, pp. 155-170 (2006

Spectral Theorem Approach to the Characteristic Function of Quantum Observables

We compute the resolvent of the anti-commutator operator $XP+PX$ and of the quantum harmonic oscillator Hamiltonian operator $\frac{1}{2}(X^2+P^2)$. Using Stone's formula for finding the spectral resolution of an, either bounded or unbounded, self-adjoint operator on a Hilbert space, we also compute their Vacuum Characteristic Function (Quantum Fourier Transform). We also show how Stone's formula is applied to the computation of the Vacuum Characteristic Function of finite dimensional quantum observables. The method is proposed as an analytical alternative to the algebraic (or Heisenberg) approach relying on the associated Lie algebra commutation relations

Von Neumann\u27s Minimax Theorem for Continuous Quantum Games

The concept of a classical player, corresponding to a classical random variable, is extended to include quantum random variables in the form of self adjoint operators on infinite dimensional Hilbert space. A quantum version of Von Neumann's Minimax theorem for infinite dimensional (or continuous) games is proved