Simplified Stochastic Calculus via Semimartingale Representations

We develop a stochastic calculus that makes it easy to capture a variety of predictable transformations of semimartingales such as changes of variables, stochastic integrals, and their compositions. The framework offers a unified treatment of real-valued and complex-valued semimartingales. The proposed calculus is a blueprint for the derivation of new relationships among stochastic processes with specific examples provided in the paper

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Year of publication:	[2021]
Authors:	Černý, Aleš ; Ruf, Johannes
Publisher:	[S.l.] : SSRN
Subject:	Stochastischer Prozess \| Stochastic process \| Martingal \| Martingale \| Optionspreistheorie \| Option pricing theory

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Extent:	1 Online-Ressource (29 p)
Series:	arXiv preprint 2006.11914
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 21, 2020 erstellt
Other identifiers:	10.2139/ssrn.3633638 [DOI]
Classification:	C65 - Miscellaneous Mathematical Tools ; G11 - Portfolio Choice
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013223376