Černý, Aleš and Ruf, Johannes ORCID: 0000-0003-3616-2194 (2022) Simplified stochastic calculus via semimartingale representations. Electronic Journal of Probability, 27. 1 - 32. ISSN 1083-6489
Text (Simplified stochastic calculus via semimartingale representations)
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Identification Number: 10.1214/21-EJP729
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 |
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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: | 01 Oct 2024 03:06 |
URI: | http://eprints.lse.ac.uk/id/eprint/112929 |
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