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

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