On integration with respect to the q-Brownian motion
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🧮 math.PR
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integrationisometrymotionq-brownianrespectcalleddefineextends
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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.
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