Quantum-accelerated MLMC methods for BDSDE-based SPDE derivative pricing and Greeks achieve sampling complexity improvement from O(ε^{-2}) to O(ε^{-1}).
Quantum speedup of Monte Carlo methods
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abstract
Monte Carlo methods use random sampling to estimate numerical quantities which are hard to compute deterministically. One important example is the use in statistical physics of rapidly mixing Markov chains to approximately compute partition functions. In this work we describe a quantum algorithm which can accelerate Monte Carlo methods in a very general setting. The algorithm estimates the expected output value of an arbitrary randomised or quantum subroutine with bounded variance, achieving a near-quadratic speedup over the best possible classical algorithm. Combining the algorithm with the use of quantum walks gives a quantum speedup of the fastest known classical algorithms with rigorous performance bounds for computing partition functions, which use multiple-stage Markov chain Monte Carlo techniques. The quantum algorithm can also be used to estimate the total variation distance between probability distributions efficiently.
fields
quant-ph 1years
2026 1verdicts
UNVERDICTED 1representative citing papers
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Quantum Derivative Pricing for SPDEs via BDSDE Representation
Quantum-accelerated MLMC methods for BDSDE-based SPDE derivative pricing and Greeks achieve sampling complexity improvement from O(ε^{-2}) to O(ε^{-1}).