On the combinatorics of iterated stochastic integrals

Jamshidian, Farshid (2011) On the combinatorics of iterated stochastic integrals. Stochastics : An International Journal of Probability and Stochastic Processes, 83 (1). pp. 1-15. ISSN 1744-2508

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Abstract:	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.
Item Type:	Article
Copyright:	© 2011 Taylor & Francis
Faculty:	Electrical Engineering, Mathematics and Computer Science (EEMCS)
Research Group:	Stochastic Systems and Signals (SST)
Link to this item:	http://purl.utwente.nl/publications/81467
Official URL:	http://dx.doi.org/10.1080/17442508.2010.539010
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