Simplified stochastic calculus via semimartingale representations
Černý, A. & Ruf, J.
(2022).
Simplified stochastic calculus via semimartingale representations.
Electronic Journal of Probability,
27, 1 - 32.
https://doi.org/10.1214/21-EJP729
(2022).
Simplified stochastic calculus via semimartingale representations.
Electronic Journal of Probability,
27, 1 - 32.
https://doi.org/10.1214/21-EJP729
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.
