Various identities for iterated integrals of a semimartingale

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Jamshidian, Farshid (2005) Various identities for iterated integrals of a semimartingale.

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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.
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Link to this item:http://purl.utwente.nl/publications/59848
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