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Simplified stochastic calculus via semimartingale representations

Černý, A. ORCID: 0000-0001-5583-6516 and Ruf, J. (2021). Simplified stochastic calculus via semimartingale representations. Electronic Journal of Probability,

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
Additional Information: This article has accepted for pubication in Electronic Journal of Probability by Institute of Mathematical Statistics.
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
Date available in CRO: 10 Dec 2021 10:53
Date deposited: 10 December 2021
Date of acceptance: 7 December 2021
Date of first online publication: 21 June 2020
URI: https://openaccess.city.ac.uk/id/eprint/27246
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