On stochastic calculus with respect to q-Brownian motion

TL;DR

This paper develops a rough path framework for q-Brownian motion, constructing a Lévy area and comparing rough integrals with classical Itô integrals, advancing stochastic calculus in non-commutative settings.

Contribution

It introduces a product Lévy area for q-Brownian motion and compares rough path integrals with classical stochastic integrals, extending stochastic calculus methods.

Findings

Constructed a product Lévy area for q-Brownian motion.

Compared rough path and Itô integrals for q-Brownian motion.

Extended stochastic calculus to non-commutative processes.

Abstract

Following the approach and the terminology introduced in [A. Deya and R. Schott, On the rough paths approach to non-commutative stochastic calculus, J. Funct. Anal., 2013], we construct a product L{\'e}vy area above the $q$-Brownian motion (for $q\in [0,1)$) and use this object to study differential equations driven by the process.We also provide a detailled comparison between the resulting "rough" integral and the stochastic "It{\^o}" integral exhibited by Donati-Martin in [C. Donati-Martin, Stochastic integration with respect to $q$ Brownian motion, Probab. Theory Related Fields, 2003].