Quantized noncommutative Riemann manifolds and stochastic processes: the theoretical foundations of the square root of Brownian motion. (English) Zbl 1528.60072
Summary: We lay the theoretical and mathematical foundations of the square root of Brownian motion and we prove the existence of such a process. In doing so, we consider Brownian motion on quantized noncommutative Riemannian manifolds and show how a set of stochastic processes on sets of complex numbers can be devised. This class of stochastic processes are shown to yield at the outset a Chapman-Kolmogorov equation with a complex diffusion coefficient that can be straightforwardly reduced to the Schrödinger equation. The existence of these processes has been recently shown numerically. In this work we provide an analogous support for the existence of the Chapman-Kolmogorov-Schrödinger equation for them, performing a Monte Carlo study. It is numerically seen as a Wick rotation can turn the heat kernel into the Schrödinger one, mapping such kernels through the corresponding stochastic processes. In this way, we introduce a new kind of improper complex stochastic process. This permits a reformulation of quantum mechanics using purely geometrical concepts that are strongly linked to stochastic processes. Applications to economics are also entailed.
MSC:
| 60H30 | Applications of stochastic analysis (to PDEs, etc.) |
| 60G22 | Fractional processes, including fractional Brownian motion |
| 60J65 | Brownian motion |
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