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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


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
Text - Published Version
Available under License Creative Commons: Attribution International Public License 4.0.

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