On Quantum BSDE Solver for High-Dimensional Parabolic PDEs

• URL: http://arxiv.org/abs/2506.14612v2
• Date: Wed, 03 Sep 2025 16:51:16 GMT
• Title: On Quantum BSDE Solver for High-Dimensional Parabolic PDEs
• Authors: Howard Su, Huan-Hsin Tseng,
• Abstract summary: This study employs the pure Variational Quantum Circuit (VQC) as the core solver without trainable classical neural networks.<n>We benchmark VQCbased and classical deep neural network (DNN) solvers on two canonical PDEs as representatives.<n>The VQC achieves lower variance and improved accuracy in most cases, particularly in highly nonlinear regimes.
• Score: 8.072353085704627
• License: http://creativecommons.org/licenses/by/4.0/
• Abstract: We propose a quantum machine learning framework for approximating solutions to high-dimensional parabolic partial differential equations (PDEs) that can be reformulated as backward stochastic differential equations (BSDEs). In contrast to popular quantum-classical network hybrid approaches, this study employs the pure Variational Quantum Circuit (VQC) as the core solver without trainable classical neural networks. The quantum BSDE solver performs pathwise approximation via temporal discretization and Monte Carlo simulation, framed as model-based reinforcement learning. We benchmark VQCbased and classical deep neural network (DNN) solvers on two canonical PDEs as representatives: the Black-Scholes and nonlinear Hamilton-Jacobi-Bellman (HJB) equations. The VQC achieves lower variance and improved accuracy in most cases, particularly in highly nonlinear regimes and for out-of-themoney options, demonstrating greater robustness than DNNs. These results, obtained via quantum circuit simulation, highlight the potential of VQCs as scalable and stable solvers for highdimensional stochastic control problems.

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