Unified signature cumulants and generalized Magnus expansions (Q5866307): Difference between revisions

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Revision as of 23:54, 5 March 2024

scientific article; zbMATH DE number 7541114
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English
Unified signature cumulants and generalized Magnus expansions
scientific article; zbMATH DE number 7541114

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    Unified signature cumulants and generalized Magnus expansions (English)
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    13 June 2022
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    signatures
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    Lévy processes
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    Markov processes
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    stochastic Volterra processes
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    universal signature relations for semimartingales
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    moment-cumulant relations
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    characteristic functions
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    diamond product
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    Magnus expansion
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