Taylor expansions of solutions of stochastic partial differential equations (Q1956545): Difference between revisions
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Latest revision as of 23:17, 18 April 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Taylor expansions of solutions of stochastic partial differential equations |
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Taylor expansions of solutions of stochastic partial differential equations (English)
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22 September 2010
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The solution of a SPDE of evolutionary type in general does not satisfy an Ito formula like the solution of a SDE and stochastic Taylor expansions can not be derived by an iterated application of Ito formula. In this paper, using the mild formulation of SPDE and an appropriate recursion technique, Taylor expansions of SPDE with non-additive noise are derived. Another recursion formula can be delivered if the solution of SPDE can be written as a composition of a smooth scalar function and a gradient stochastic flow.
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Taylor expansions
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stochastic partial differential equations
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