Algebraic structure of multiple stochastic integrals with respect to brownian motions and poisson processes

DOI10.1080/17442509708834118zbMath0884.60047OpenAlexW2036419068MaRDI QIDQ4354634

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Publication date: 7 April 1998

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442509708834118

zbMATH Keywords

Poisson processesshuffle algebraChen seriesmultiple stochastic integralsBrownian motionsLyndon basisPhilip Hall basis

Mathematics Subject Classification ID

Lie algebras of vector fields and related (super) algebras (17B66) Brownian motion (60J65) Stochastic integrals (60H05)

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Time-warping invariants of multidimensional time series ⋮ Flows and stochastic Taylor series in Itô calculus ⋮ Functional series expansions for continuous-time switched systems ⋮ Lévy processes and quasi-shuffle algebras ⋮ Product expansion for stochastic jump diffusions and its application to numerical approximation ⋮ Algebraic structures and stochastic differential equations driven by Lévy processes

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