Algebraic structure of multiple stochastic integrals with respect to brownian motions and poisson processes

DOI10.1080/17442509708834118MaRDI QIDQ4354634zbMATH OpenOpenAlexFDO

Authors

Publication date 7 April 1998

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

Full work available at URL https://doi.org/10.1080/17442509708834118

zbMATH Keywords

Poisson processesmultiple stochastic integralsChen seriesshuffle algebraBrownian motionsLyndon basisPhilip Hall basis

Mathematics Subject Classification ID

Brownian motion (60J65) Stochastic integrals (60H05) Lie algebras of vector fields and related (super) algebras (17B66)

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(6)

• Time-warping invariants of multidimensional time series
• Flows and stochastic Taylor series in Itô calculus
• Product expansion for stochastic jump diffusions and its application to numerical approximation
• Functional series expansions for continuous-time switched systems
• Lévy processes and quasi-shuffle algebras
• Algebraic structures and stochastic differential equations driven by Lévy processes

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