Abstract
This paper derives several identities for iterated integrals of a semimartingale. They involve powers, brackets, exponential and the stochastic exponential. Some, like for counting or finite-variation processes, are apparently new. Others, like two of the three formulae for continuous semimartingales, are generalizations of well-known formulae.
| Original language | English |
|---|---|
| Number of pages | 12 |
| Publication status | Published - 15 Dec 2005 |
Keywords
- counting process
- IR-59848
- Semimartingale
- It¨o’s formula
- iterated stochastic integral
- stochastic exponential