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On the combinatorics of iterated stochastic integrals.
- Source :
-
Stochastics: An International Journal of Probability & Stochastic Processes . Feb2011, Vol. 83 Issue 1, p1-15. 15p. - Publication Year :
- 2011
-
Abstract
- This paper derives several identities for the iterated integrals of a general semimartingale. They involve powers, brackets, exponential and the stochastic exponential. Their form and derivations are combinatorial. The formulae simplify for continuous or finite-variation semimartingales, especially for counting processes. The results are motivated by chaotic representation of martingales, and a simple such application is given. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 17442508
- Volume :
- 83
- Issue :
- 1
- Database :
- Academic Search Index
- Journal :
- Stochastics: An International Journal of Probability & Stochastic Processes
- Publication Type :
- Academic Journal
- Accession number :
- 57688337
- Full Text :
- https://doi.org/10.1080/17442508.2010.539010