Itô's formula, the stochastic exponential, and change of measure on general time scales (Q1667572)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Itô's formula, the stochastic exponential, and change of measure on general time scales |
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Itô's formula, the stochastic exponential, and change of measure on general time scales (English)
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30 August 2018
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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).
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