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

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