Levy Processes and Quasi-Shuffle Algebras

Abstract

We investigate the algebra of repeated integrals of semimartingales. We prove that a minimal family of semimartingales generates a quasi-shuffle algebra. In essence, to fulfill the minimality criterion, first, the family must be a minimal generator of the algebra of repeated integrals generated by its elements and by quadratic covariation processes recursively constructed from the elements of the family. Second, recursively constructed quadratic covariation processes may lie in the linear span of previously constructed ones and of the family, but may not lie in the linear span of repeated integrals of these. We prove that a finite family of independent Levy processes that have finite moments generates a minimal family. Key to the proof are the Teugels martingales and a strong orthogonalization of them. We conclude that a finite family of independent Levy processes form a quasi-shuffle algebra. We discuss important potential applications to constructing efficient numerical methods for the strong approximation of stochastic differential equations driven by Levy processes.

10 pages

References in corpus (3)

• Mixable Shuffles, Quasi-shuffles and Hopf Algebras
• Quasi-shuffle products revisited
• Natural endomorphisms of quasi-shuffle Hopf algebras

Cited by in corpus (7)

• The exponential Lie series for continuous semimartingales
• Flows and stochastic Taylor series in Ito calculus
• An isomorphism between branched and geometric rough paths
• Quasi-shuffle algebras and renormalisation of rough differential equations
• Smooth rough paths, their geometry and algebraic renormalization
• Algebraic Structures and Stochastic Differential Equations driven by Levy processes
• Quasi-geometric rough paths and rough change of variable formula