Itô's formula, the stochastic exponential, and change of measure on general time scales (Q1667572)

Summary: 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).