The Time-Changed Q-Wiener Process and Associated Stochastic Differential Equations

Chlebak, Lise.


  • Abstract: The general narrative of this work involves constructing the time-changed Q-Wiener process and comparing it to the usual Q-Wiener process. Unlike its non-time-changed counterpart, the time-changed Q-Wiener process lacks the nice properties of having stationary and independent increments. Thus, we must turn to the martingale property of the time-changed Q-Wiener process in order to recove... read more
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