For any two semimartingales $X$ and $Y$ it is true that $$ \mathscr{E}(X)\mathscr{E}(Y) = \mathscr{E}(X+Y+[X,Y]);\tag{1}\label{1}$$ see for example II.8.19 in Jacod, Jean; Shiryaev, Albert N., Limit theorems for stochastic processes., Grundlehren der Mathematischen Wissenschaften. 288. Berlin: Springer. xx, 661 p. (2003). ZBL1018.60002. Some authors call \eqref{1} the Yor formula. What is the original source of this formula and who has given it its name?
2026-04-12 15:59:03.1776009543
Origin of Yor's formula
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I have found it: In Jacod (1979) Calcul stochastique et problèmes de martingales, the formula is credited to Proposition 4 in Yor (1976) Sur les intégrales stochastiques optionnelles et une suite remarquable de formules exponentielles.