Itô's formula, the stochastic exponential, and change of measure on general time scales

DOI10.1155/2017/9140138zbMath1448.81413arXiv1609.05967OpenAlexW2522370420WikidataQ59142389 ScholiaQ59142389MaRDI QIDQ1667572

Wenqing Hu

Publication date: 30 August 2018

Published in: Abstract and Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1609.05967

Mathematics Subject Classification ID

Quantum stochastic calculus (81S25) Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65)

Related Items (3)

Doubly-weighted pseudo almost automorphic solutions for stochastic dynamic equations with Stepanov-like coefficients on time scales ⋮ Memoryless properties on time scales ⋮ Dynamic programming and Hamilton-Jacobi-Bellman equations on time scales

Cites Work

• Unnamed Item
• Unnamed Item
• The quadratic variation of Brownian motion on a time scale
• On integration with respect to the \(q\)-Brownian motion
• Change of variable formulas for non-anticipative functionals on path space
• The stochastic dynamic exponential and geometric Brownian motion on isolated time scales
• Basic calculus on time scales and some of its applications
• Short time asymptotic behaviour and large deviation for Brownian motion on some affine nested fractals
• Large deviations for Brownian motion on the Sierpiński gasket
• Itô's Lemma with quantum calculus (\(q\)-calculus): some implications
• Brownian Motion Indexed by a Time Scale
• The First Attempt on the Stochastic Calculus on Time Scale
• Quantum Calculus (q-Calculus) and Option Pricing: A Brief Introduction
• Brownian motion on disconnected sets, basic hypergeometric functions, and some continued fractions of Ramanujan

This page was built for publication: Itô's formula, the stochastic exponential, and change of measure on general time scales