On non-commutative stochastic exponentials

Curry, Charles Henry Alexander; Ebrahimi-Fard, Kurusch; Patras, Frederic
Journal article, Peer reviewed
Published version
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URI
http://hdl.handle.net/11250/2603778
Date
2019
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Original version
Lecture Notes in Computational Science and Engineering. 2019, 126 439-447.   10.1007/978-3-319-96415-7_39
Abstract
Using non-commutative shuffle algebra, we outline how the Magnus expansion allows to define explicit stochastic exponentials for matrix-valued continuous semimartingales and Stratonovich integrals.
Publisher
Springer Verlag
Journal
Lecture Notes in Computational Science and Engineering