Jamshidian, Farshid (2008): On the combinatorics of iterated stochastic integrals.
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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:||MPRA Paper|
|Original Title:||On the combinatorics of iterated stochastic integrals|
|Keywords:||Semimartingale; iterated integrals; power jump processes; Ito's formula; stochastic exponential; chaotic representation|
|Subjects:||C - Mathematical and Quantitative Methods > C0 - General|
|Depositing User:||Farshid Jamshidian|
|Date Deposited:||15. Feb 2008 09:00|
|Last Modified:||18. Feb 2013 12:48|
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