Multiplicative decomposition of non-singular matrix valued continuous semimartingales

DOI10.1214/aop/1176993734zbMath0505.60069OpenAlexW2046317054MaRDI QIDQ1836446

Rajeeva L. Karandikar

Publication date: 1982

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1176993734

zbMATH Keywords

multiplicative decompositionintegration by parts formulaexponential semimartingalemultiplicative stochastic integration

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Stochastic integrals (60H05) Multiplicative functionals and Markov processes (60J57)

Related Items (4)

Hermite-Hadamard type inequalities for multiplicatively harmonic convex functions ⋮ Hermite-Hadamard type inequalities for multiplicatively \(p\)-convex functions ⋮ Quasi-shuffle algebras in non-commutative stochastic calculus ⋮ Brownian Processes for Monte Carlo Integration on Compact Lie Groups

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