"Itô's Formula, the Stochastic Exponential, and Change of Measure on Ge" by Wenqing Hu
 

Abstract

We provide an Itô formula for stochastic dynamical equation on general time scales. Based on this Itô's formula we give a closed-form expression for stochastic exponential on general time scales. We then demonstrate Girsanov's change of measure formula in the case of general time scales. Our result is being applied to a Brownian motion on the quantum time scale (𝑞-time scale).

Department(s)

Mathematics and Statistics

International Standard Serial Number (ISSN)

1085-3375; 1687-0409

Document Type

Article - Journal

Document Version

Final Version

File Type

text

Language(s)

English

Rights

© 2017 Wenqing Hu, All rights reserved.

Creative Commons Licensing

Creative Commons License
This work is licensed under a Creative Commons Attribution 4.0 License.

Publication Date

01 Apr 2017

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