Simplified stochastic calculus via semimartingale representations

Černý, Aleš and Ruf, Johannes (2022) Simplified stochastic calculus via semimartingale representations. Electronic Journal of Probability, 27. 1 - 32. ISSN 1083-6489

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Abstract

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 below.

Item Type:	Article
Official URL:	https://projecteuclid.org/journals/electronic-jour...
Additional Information:	© 2021 The Authors
Divisions:	Mathematics
Subjects:	Q Science > QA Mathematics
Date Deposited:	09 Dec 2021 08:45
Last Modified:	21 Mar 2022 09:09
URI:	http://eprints.lse.ac.uk/id/eprint/112929

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