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

DOI10.1155/2017/9140138zbMATH Open1448.81413arXiv1609.05967OpenAlexW2522370420WikidataQ59142389 ScholiaQ59142389MaRDI QIDQ1667572FDOQ1667572

Wenqing Hu

Publication date: 30 August 2018

Published in: Abstract and Applied Analysis (Search for Journal in Brave)

Abstract: We provide an It^{o}'s formula for stochastic dynamical equation on general time scales. Based on this It^{o}'s formula we give a closed form expression for stochastic exponential on general time scales. We then demonstrate a 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).

Full work available at URL: https://arxiv.org/abs/1609.05967

Recommendations

• scientific article; zbMATH DE number 5984511
• scientific article; zbMATH DE number 2078181
• Stochastic dynamic equations on general time scales
• The first attempt on the stochastic calculus on time scale
• Stochastic calculus for a time-changed semimartingale and the associated stochastic differential equations

Mathematics Subject Classification ID

Quantum stochastic calculus (81S25) Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65)

Cites Work

• Title not available (Why is that?)
• Change of variable formulas for non-anticipative functionals on path space
• Basic calculus on time scales and some of its applications
• Title not available (Why is that?)
• The stochastic dynamic exponential and geometric Brownian motion on isolated time scales
• Brownian Motion Indexed by a Time Scale
• The First Attempt on the Stochastic Calculus on Time Scale
• Brownian motion on disconnected sets, basic hypergeometric functions, and some continued fractions of Ramanujan
• The quadratic variation of Brownian motion on a time scale
• Itô's Lemma with quantum calculus (\(q\)-calculus): some implications
• Quantum Calculus (q-Calculus) and Option Pricing: A Brief Introduction
• On integration with respect to the \(q\)-Brownian motion
• Short time asymptotic behaviour and large deviation for Brownian motion on some affine nested fractals
• Large deviations for Brownian motion on the Sierpiński gasket

Cited In (4)

• Dynamic programming and Hamilton-Jacobi-Bellman equations on time scales
• Doubly-weighted pseudo almost automorphic solutions for stochastic dynamic equations with Stepanov-like coefficients on time scales
• Title not available (Why is that?)
• Memoryless properties on time scales

This page was built for publication: Itô's formula, the stochastic exponential, and change of measure on general time scales

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1667572)