Itô’s Formula, the Stochastic Exponential, and Change of Measure on General Time Scales
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...
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| Main Author: | |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2017-01-01
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| Series: | Abstract and Applied Analysis |
| Online Access: | http://dx.doi.org/10.1155/2017/9140138 |
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