A stochastic Taylor-like expansion in the rough path theory (Q1960239): Difference between revisions
From MaRDI portal
Set OpenAlex properties. |
Changed an Item |
||
| Property / arXiv ID | |||
| Property / arXiv ID: 1004.1476 / rank | |||
Normal rank | |||
Revision as of 00:11, 19 April 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A stochastic Taylor-like expansion in the rough path theory |
scientific article |
Statements
A stochastic Taylor-like expansion in the rough path theory (English)
0 references
13 October 2010
0 references
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.
0 references
rough path
0 references
Taylor expansion
0 references
