On stochastic calculus with respect to q-Brownian motion

DOI10.1016/J.JFA.2017.08.019MaRDI QIDQ1693259zbMATH OpenOpenAlexFDO

Authors A. Deya, R. Schott

Publication date 11 January 2018

Published in Journal of Functional Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1612.05757

zbMATH Keywords

\(q\)-Brownian motionnoncommutative stochastic calculusrough path approach

Mathematics Subject Classification ID

Noncommutative probability and statistics (46L53) Gaussian processes (60G15) Stochastic integrals (60H05)

Abstract: Following the approach and the terminology introduced in [A. Deya and R. Schott, On the rough paths approach to non-commutative stochastic calculus, J. Funct. Anal., 2013], we construct a product L{'e}vy area above the $q$-Brownian motion (for $qin[0,1)$) and use this object to study differential equations driven by the process.We also provide a detailled comparison between the resulting "rough" integral and the stochastic "It{^o}" integral exhibited by Donati-Martin in [C. Donati-Martin, Stochastic integration with respect to $q$ Brownian motion, Probab. Theory Related Fields, 2003].

Review text

As an alternative to the approach to stochastic integration with respect to \(q\)-Brownian motion developed by \textit{C. Donati-Martin} [Probab. Theory Relat. Fields 125, No. 1, 77--95 (2003; Zbl 1033.60066)], the authors apply here their own rough path approach from [J. Funct. Anal. 265, No. 4, 594--628 (2013; Zbl 1291.46056)]. Their main result is Theorem 3.1, which gives the existence of a product Lévy area above \(q\)-Brownian motion for \(q\in[0,1)\). Thanks to the rough-path approach previously developed, this allows to defined stochastic integrals of bi-processes with respect to \(q\)-Brownian motion. In the last section of the paper, it is shown that, on the \(L^2(\varphi)\)-level, the integral defined using the rough path approach corresponds to a Stratonovich-type integral, while the approach of Donati-Martin [loc.\,cit.]\ leads to an Itô-type integral.

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Cites work

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Cited in

(8)

• On multiplication in q-Wiener chaoses
• Stochastic integration with respect to q Brownian motion
• Integration with respect to the Hermitian fractional Brownian motion
• Integration with respect to the non-commutative fractional Brownian motion
• On integration with respect to the \(q\)-Brownian motion
• scientific article; zbMATH DE number 953292 (Why is no real title available?)
• Fock space associated with quadrabasic Hermite orthogonal polynomials
• A martingale approach to noncommutative stochastic calculus

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