Itô’s Formula, the Stochastic Exponential, and Change of Measure on General Time Scales
Author
Source
Issue
Vol. 2017, Issue 2017 (31 Dec. 2017), pp.1-13, 13 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2017-04-18
Country of Publication
Egypt
No. of Pages
13
Main Subjects
Abstract EN
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).
American Psychological Association (APA)
Hu, Wenqing. 2017. Itô’s Formula, the Stochastic Exponential, and Change of Measure on General Time Scales. Abstract and Applied Analysis،Vol. 2017, no. 2017, pp.1-13.
https://search.emarefa.net/detail/BIM-1120859
Modern Language Association (MLA)
Hu, Wenqing. Itô’s Formula, the Stochastic Exponential, and Change of Measure on General Time Scales. Abstract and Applied Analysis No. 2017 (2017), pp.1-13.
https://search.emarefa.net/detail/BIM-1120859
American Medical Association (AMA)
Hu, Wenqing. Itô’s Formula, the Stochastic Exponential, and Change of Measure on General Time Scales. Abstract and Applied Analysis. 2017. Vol. 2017, no. 2017, pp.1-13.
https://search.emarefa.net/detail/BIM-1120859
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1120859
