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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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Identification Number: 10.1214/21-EJP729


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:
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

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