Triangle Quantum Computing Seminar Series

Join Today’s Duke, NC State and UNC collaborative Triangle Quantum Computing Seminar 

Talk Title: Quantum Algorithm for Stochastic Optimal Stopping Problems

Speaker: João Doriguello

Hosted by:  UNC Kenan-Flagler Rethinc. Labs

Abstract:   The famous least squares Monte Carlo (LSM) algorithm combines linear least square regression with Monte Carlo simulation to approximately solve problems in stochastic optimal stopping theory. In this work, we propose a quantum LSM based on quantum access to a stochastic process, on quantum circuits for computing the optimal stopping times, and on quantum Monte Carlo techniques. For this algorithm we elucidate the intricate interplay of function approximation and quantum Monte Carlo algorithms. Our algorithm achieves a nearly quadratic speedup in the runtime compared to the LSM algorithm under some mild assumptions. Specifically, our quantum algorithm can be applied to American option pricing and we analyze a case study for the common situation of Brownian motion and geometric Brownian motion processes.

This is a Hybrid Event with NC State.

The In Person location for NC State is Venture Place, 2nd Floor, Large Classroom.

REGISTRATION: Form Link 

For more information email:  quantumcomputing@ncsu.edu