Simplified stochastic calculus via semimartingale representations

DOI10.1214/21-EJP729zbMath1490.60103arXiv2006.11914OpenAlexW3122907624WikidataQ114007808 ScholiaQ114007808MaRDI QIDQ2076652

Aleš Černý, Johannes Ruf

Publication date: 22 February 2022

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2006.11914

zbMATH Keywords

Itô formulasemimartingale representationcomplex-valued processÉmery formulageneralized Yor formula

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Martingales with continuous parameter (60G44) General theory of stochastic processes (60G07) Stochastic integrals (60H05)

Related Items (1)

Simplified calculus for semimartingales: multiplicative compensators and changes of measure

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