On the combinatorics of iterated stochastic integrals

DOI10.1080/17442508.2010.539010zbMath1219.60057OpenAlexW1964163648MaRDI QIDQ3017885

Farshid Jamshidian

Publication date: 20 July 2011

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://research.utwente.nl/en/publications/on-the-combinatorics-of-iterated-stochastic-integrals(cdddab3a-944b-4d61-895a-eb513d5628d2).html

zbMATH Keywords

iterated integralssemimartingaleItô's formulachaotic representationstochastic exponentialpower jump processes

Mathematics Subject Classification ID

Combinatorial probability (60C05) Stochastic integrals (60H05)

Cites Work

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• Chaotic and predictable representations for Lévy processes.
• Multiple Wiener integral

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