Itô’s Formula, the Stochastic Exponential, and Change of Measure on General Time Scales

Wenqing Hu

Abstract and Applied Analysis, 2017, vol. 2017, 1-13

Abstract:

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 ( -time scale).

Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlaaa:9140138

DOI: 10.1155/2017/9140138

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