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On Non-commutative Stochastic Exponentials

  • Charles Curry
  • Kurusch Ebrahimi-Fard
  • Frédéric Patras
Conference paper
Part of the Lecture Notes in Computational Science and Engineering book series (LNCSE, volume 126)

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.

Notes

Acknowledgements

The research on this paper was partially supported by the Norwegian Research Council (project 231632).

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Copyright information

© Springer Nature Switzerland AG 2019

Authors and Affiliations

  • Charles Curry
    • 1
  • Kurusch Ebrahimi-Fard
    • 1
  • Frédéric Patras
    • 2
  1. 1.Norwegian University of Science and Technology (NTNU)Institutt for matematiske fagTrondheimNorway
  2. 2.Univ. Côte d’AzurCNRS, UMR 7351Nice CedexFrance

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