Various identities for iterated integrals of a semimartingale
Jamshidian, Farshid (2005) Various identities for iterated integrals of a semimartingale.
|Abstract:||This paper derives several identities for iterated integrals of a semimartingale. They involve powers, brackets, exponential and the stochastic exponential. Some, like for counting or finite-variation processes, are apparently new. Others, like two of the three formulae for continuous semimartingales, are generalizations of well-known formulae.|
|Link to this item:||http://purl.utwente.nl/publications/59848|
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