A stochastic Taylor-like expansion in the rough path theory (Q1960239): Difference between revisions

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A stochastic Taylor-like expansion in the rough path theory
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    A stochastic Taylor-like expansion in the rough path theory (English)
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    13 October 2010
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    For a family of Ito maps indexed by a small parameter a Taylor expansion in the context of rough path theory is established. There are treated several cases of the roughness \(p\) including \(p=2,3,\dots\). As an application, the Laplace asymptotics for Ito functionals of Brownian rough paths is analyzed.
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    rough path
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    Taylor expansion
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