On the combinatorics of iterated stochastic integrals
نویسندگان
چکیده
منابع مشابه
On the combinatorics of iterated stochastic integrals
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 martinga...
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ژورنال
عنوان ژورنال: Stochastics
سال: 2011
ISSN: 1744-2508,1744-2516
DOI: 10.1080/17442508.2010.539010