On non-commutative stochastic exponentials
Journal article, Peer reviewed
Published version
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Date
2019Metadata
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- Institutt for matematiske fag [2474]
- Publikasjoner fra CRIStin - NTNU [38294]
Original version
Lecture Notes in Computational Science and Engineering. 2019, 126 439-447. 10.1007/978-3-319-96415-7_39Abstract
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.