This type of construction also arises in topology and algebraic geometry as "iterated integrals" or "Chen's iterated integrals". There are many sources of which a famous one by Chen himself is: Link .
Path-ordered (or time-ordered) exponential, as suggested in the other answer, is the most common term, or at least would get the most hits in a search, but this is due to the usage in physics.
ADDED: this paper by Hain (Chen's student) calls the construction "iterated line integrals". http://arxiv.org/abs/math.AG/0109204https://arxiv.org/abs/math.AG/0109204 . Another paper calls it "iterated integrals" in a more specific context matching that of the question: p.21 of http://www.math.toronto.edu/drorbn/papers/OnVassiliev/OnVassiliev.pdf .