On integration with respect to the q-Brownian motion
Probability
2014-11-25 v1
Abstract
For a parameter 0<q<1, we use the Jackson q-integral to define integration with respect to the so called q-Brownian motion. Our main results are the q-analogs of the L_2-isometry and of the Ito formula for polynomial integrands. We also indicate how the L_2-isometry extends the integral to more general functions.
Keywords
Cite
@article{arxiv.1407.7090,
title = {On integration with respect to the q-Brownian motion},
author = {Wlodek Bryc},
journal= {arXiv preprint arXiv:1407.7090},
year = {2014}
}
Comments
This is an expanded version of the paper