2023/02/10 by Will Hicks, Hicks, Will
Economics, Econometrics and Finance · Physics and Astronomy · #35C20 #81S25 (Primary) #91G20 (Secondary) #Advanced Thermodynamics and Statistical Mechanics #Complex Systems and Time Series Analysis #FOS: Economics and business #Mathematical Finance (q-fin.MF) #Stochastic processes and financial applications
paper · pdf · doi:10.48550/arxiv.2302.05256
openalex publication_date 2023/02/10 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
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.