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Itô's stochastic calculus and Heisenberg commutation relations

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  • Biane, Philippe

Abstract

Stochastic calculus and stochastic differential equations for Brownian motion were introduced by K. Itô in order to give a pathwise construction of diffusion processes. This calculus has deep connections with objects such as the Fock space and the Heisenberg canonical commutation relations, which have a central role in quantum physics. We review these connections, and give a brief introduction to the noncommutative extension of Itô's stochastic integration due to Hudson and Parthasarathy. Then we apply this scheme to show how finite Markov chains can be constructed by solving stochastic differential equations, similar to diffusion equations, on the Fock space.

Suggested Citation

  • Biane, Philippe, 2010. "Itô's stochastic calculus and Heisenberg commutation relations," Stochastic Processes and their Applications, Elsevier, vol. 120(5), pages 698-720, May.
    • Handle: RePEc:eee:spapps:v:120:y:2010:i:5:p:698-720
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    References listed on IDEAS

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    1. Kunita, Hiroshi, 2010. "Itô's stochastic calculus: Its surprising power for applications," Stochastic Processes and their Applications, Elsevier, vol. 120(5), pages 622-652, May.
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    Cited by:

    1. Kang, Yuanbao & Wang, Caishi, 2014. "Itô formula for one-dimensional continuous-time quantum random walk," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 414(C), pages 154-162.
    2. Zura Kakushadze, 2016. "On Origins of Bubbles," Papers 1610.03769, arXiv.org, revised Jul 2017.

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