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

Wenqing Hu

Abstract and Applied Analysis, 2017, vol. 2017, issue 1

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 (q‐time scale).

Date: 2017
References: Add references at CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1155/2017/9140138

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wly:jnlaaa:v:2017:y:2017:i:1:n:9140138

Access Statistics for this article

More articles in Abstract and Applied Analysis from John Wiley & Sons
Bibliographic data for series maintained by Wiley Content Delivery ().