Simplified stochastic calculus via semimartingale representations

Ale\v{s} \v{C}ern\'y and Johannes Ruf
Authors registered in the RePEc Author Service: Aleš Černý

Papers from arXiv.org

Abstract: We develop a stochastic calculus that makes it easy to capture a variety of predictable transformations of semimartingales such as changes of variables, stochastic integrals, and their compositions. The framework offers a unified treatment of real-valued and complex-valued semimartingales. The proposed calculus is a blueprint for the derivation of new relationships among stochastic processes with specific examples provided below.

Date: 2020-06, Revised 2022-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Published in Electronic Journal of Probability, 27, article no. 3, 1-32, 2022

Downloads: (external link)
http://arxiv.org/pdf/2006.11914 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2006.11914

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().