Article
It么's Formula, the Stochastic Exponential, and Change of Measure on General Time Scales
Abstract and Applied Analysis
Abstract
We provide an It么 formula for stochastic dynamical equation on general time scales. Based on this It么'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 (饾憺-time scale).
Department(s)
Mathematics and Statistics
Document Type
Article - Journal
Document Version
Final Version
File Type
text
Language(s)
English
Rights
漏 2017 Wenqing Hu, All rights reserved.
Creative Commons Licensing
Creative Commons Attribution 4.0
Publication Date
4-1-2017
Publication Date
01 Apr 2017
Disciplines
Citation Information
Wenqing Hu. "It么's Formula, the Stochastic Exponential, and Change of Measure on General Time Scales" Abstract and Applied Analysis Vol. 2017 (2017) ISSN: 1085-3375; 1687-0409 Available at: http://works.bepress.com/wenqing-hu/14/