On the combinatorics of iterated stochastic integrals

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.

MoreLess

Year of publication:	2008-02-13
Authors:	Jamshidian, Farshid
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	Semimartingale \| iterated integrals \| power jump processes \| Ito's formula \| stochastic exponential \| chaotic representation

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

More details

Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	C0 - Mathematical and Quantitative Methods. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005835576