Stochastic flows and Taylor series (Q1099882): Difference between revisions

We study the expansion of the solution of a stochastic differential equation as an (infinite) sum of iterated stochastic (Stratonovich) integrals. This enables us to give a universal and explicit formula for any invariant diffusion on a Lie group in terms of Lie brackets, as well as a universal and explicit formula for the Brownian motion on a Riemannian manifold in terms of derivatives of the curvature tensor. The first of these formulae contains, and extends to the non nilpotent case, the results of \textit{H. Doss} [Ann. Inst. Henri Poincaré, n. Sér., Sect. B 13, 99--125 (1977; Zbl 0359.60087)], \textit{H. Sussmann} [Ann. Probab. 6, 19--41 (1978; Zbl 0391.60056)], \textit{Y. Yamato} [Z. Wahrscheinlichkeitstheor. Verw. Geb. 47, 213--229 (1979; Zbl 0427.60069)], \textit{M. Fliess} and \textit{D. Normand-Cyrot} [Séminaire de probabilités XVI, Univ. Strasbourg 1980/81, Lect. Notes Math. 920, 257--267 (1982; Zbl 0495.60064)], \textit{A. J. Krener} and \textit{C. Lobry} [Stochastics 4, 193--203 (1981; Zbl 0452.60069)] and \textit{H. Kunita} [Séminaire de probabilités XIV, 1978/79, Lect. Notes Math. 784, 282--304 (1980; Zbl 0438.60047)] on the representation of solutions of stochastic differential equations.