Simplified stochastic calculus via semimartingale representations
Černý, A. 
ORCID: 0000-0001-5583-6516 & Ruf, J. (2022).
Simplified stochastic calculus via semimartingale representations.
Electronic Journal of Probability, 27,
pp. 1-32.
doi: 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.
| Publication Type: | Article |
|---|---|
| Publisher Keywords: | Complex-valued process; generalized Yor formula; Émery formula; Itô formula |
| Subjects: | H Social Sciences > HG Finance Q Science > QA Mathematics |
| Departments: | Bayes Business School > Finance |
| SWORD Depositor: |
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