On integration with respect to the q-Brownian motion

DOI10.1016/J.SPL.2014.07.029MaRDI QIDQ467041zbMATH OpenOpenAlexFDO

Authors Włodek Bryc

Publication date 3 November 2014

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

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

zbMATH Keywords

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

Mathematics Subject Classification ID

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

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.

Recommendations

• Stochastic integration with respect to q Brownian motion
• Fourth moment theorem and \(q\)-Brownian chaos
• On stochastic calculus with respect to \(q\)-Brownian motion
• \(q\)-white noise and non-adapted stochastic integral
• scientific article; zbMATH DE number 3870321

Cites work

• scientific article; zbMATH DE number 2228141 (Why is no real title available?)
• An example of a generalized Brownian motion
• Conditional moments of \(q\)-Meixner processes
• Generators of some non-commutative stochastic processes
• Infinitesimal generators of \(q\)-Meixner processes
• Itô's Lemma with quantum calculus (\(q\)-calculus): some implications
• Lévy-Sheffer and iid-Sheffer polynomials with applications to stochastic integrals
• On the Askey-Wilson and Rogers Polynomials
• On the Gaussian \(q\)-distribution
• Parastochastics
• Probabilistic aspects of Al-Salam–Chihara polynomials
• Processes with free increments
• Quantum Calculus (q-Calculus) and Option Pricing: A Brief Introduction
• Quantum calculus
• Stochastic integration with respect to \(q\) Brownian motion
• Stochastic processes and orthogonal polynomials
• \(q\)-Gaussian processes: Non-commutative and classical aspects
• \(q\)-Wiener and \((\alpha,q)\)-Ornstein-Uhlenbeck processes. A generalization of known processes

Cited in

(4)

• On stochastic calculus with respect to \(q\)-Brownian motion
• Itô's formula, the stochastic exponential, and change of measure on general time scales
• Stochastic integration with respect to \(q\) Brownian motion
• scientific article; zbMATH DE number 2046325 (Why is no real title available?)

This page was built for publication: On integration with respect to the \(q\)-Brownian motion

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q467041)