The algebra of iterated stochastic integrals

DOI10.1080/17442509408833918zbMath0827.60038MaRDI QIDQ4849126

J. G. Gaines

Publication date: 26 November 1995

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442509408833918

zbMATH Keywords

stochastic differential equations; stochastic integrals; Lyndon words; shuffle algebras

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

17B10: Representations of Lie algebras and Lie superalgebras, algebraic theory (weights)

60H05: Stochastic integrals

Related Items

Approximation of Multiple Stochastic Integrals and Its Application to Stochastic Differential Equations, Construction of a Third-Order K-Scheme and Its Application to Financial Models, Stochastic expansions and Hopf algebras, HIGHER-ORDER RUNGE-KUTTA METHOD FOR ITÔ STOCHASTIC DIFFERENTIAL EQUATIONS WITH A NON-DEGENERATE DIFFUSION MATRIX, Tropical Time Series, Iterated-Sums Signatures, and Quasisymmetric Functions, Quasi‐shuffle algebras and renormalisation of rough differential equations, Algebraic structures and stochastic differential equations driven by Lévy processes, Generalized iterated-sums signatures, Quasi-geometric rough paths and rough change of variable formula, Time-warping invariants of multidimensional time series, Expected signature of Brownian motion up to the first exit time from a bounded domain, Continuity in a pathwise sense with respect to the coefficients of solutions of stochastic differential equations, A basis for iterated stochastic integrals, Quasi-shuffle algebras in non-commutative stochastic calculus, Explicit order \( \frac{3}{2} \) Runge-Kutta method for numerical solutions of stochastic differential equations by using Itô-Taylor expansion, Iterated-sums signature, quasisymmetric functions and time series analysis, Coupling all the Lévy stochastic areas of multidimensional Brownian motion, Word combinatorics for stochastic differential equations: splitting integrators, Functional series expansions for continuous-time switched systems, Variational principles for fluid dynamics on rough paths, Lévy processes and quasi-shuffle algebras, A Technique for Studying Strong and Weak Local Errors of Splitting Stochastic Integrators, Basic Concepts of Numerical Analysis of Stochastic Differential Equations Explained by Balanced Implicit Theta Methods, On Fliess operators driven by L ₂-Itô processes, Flows and stochastic Taylor series in Itô calculus, A combinatorial method for calculating the moments of Lévy area