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.

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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

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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