Various identities for iterated integrals of a semimartingale

Farshid Jamshidian

    Research output: Working paper

    14 Downloads (Pure)

    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 languageEnglish
    Number of pages12
    Publication statusPublished - 15 Dec 2005

    Keywords

    • counting process
    • IR-59848
    • Semimartingale
    • It¨o’s formula
    • iterated stochastic integral
    • stochastic exponential

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