On integration with respect to the q-Brownian motion

DOI10.1016/J.SPL.2014.07.029zbMATH Open1321.60114arXiv1407.7090OpenAlexW1981993561MaRDI QIDQ467041FDOQ467041

Authors: Włodek Bryc 

Publication date: 3 November 2014

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Abstract: For a parameter 0<q<1, we use the Jackson q-integral to define integration with respect to the so called q-Brownian motion. Our main results are the q-analogs of the L_2-isometry and of the Ito formula for polynomial integrands. We also indicate how the L_2-isometry extends the integral to more general functions.

Full work available at URL: https://arxiv.org/abs/1407.7090

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zbMATH Keywords

stochastic integration\(q\)-Brownian motionstochastic quantum calculusItō formula

Mathematics Subject Classification ID

Brownian motion (60J65) Stochastic integrals (60H05)

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Cited In (4)

• Stochastic integration with respect to \(q\) Brownian motion
• Title not available (Why is that?)
• Itô's formula, the stochastic exponential, and change of measure on general time scales
• On stochastic calculus with respect to \(q\)-Brownian motion

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