Quasi-shuffle algebras in non-commutative stochastic calculus

DOI10.1007/978-3-030-87432-2_6zbMATH Open1499.60167arXiv2004.06945OpenAlexW3016708187MaRDI QIDQ2107410FDOQ2107410

Frédéric Patras, Kurusch Ebrahimi-Fard

Publication date: 1 December 2022

Abstract: This chapter is divided into two parts. The first is largely expository and builds on Karandikar's axiomatisation of It{^o} calculus for matrix-valued semimartin-gales. Its aim is to unfold in detail the algebraic structures implied for iterated It{^o} and Stratonovich integrals. These constructions generalise the classical rules of Chen calculus for deterministic scalar-valued iterated integrals. The second part develops the stochastic analog of what is commonly called chronological calculus in control theory. We obtain in particular a pre-Lie Magnus formula for the logarithm of the It{^o} stochastic exponential of matrix-valued semimartingales.

Full work available at URL: https://arxiv.org/abs/2004.06945

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zbMATH Keywords

[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=It%EF%BF%BD%EF%BF%BD+integral&go=Go It�� integral]Stratonovich integralMagnus formulastochastic exponentialquasi-shuffle

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Stochastic integrals (60H05) Associative rings and algebras with additional structure (16W99)

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Cited In (6)

• Shifted substitution in non-commutative multivariate power series with a view toward free probability
• Generalized iterated-sums signatures
• What is the Magnus expansion?
• A shuffle algebra point of view on operator-valued probability theory
• Sticky Shuffle Product Hopf Algebras and their Stochastic Representations
• Lévy processes and quasi-shuffle algebras

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