Stochastic flows and Taylor series

DOI10.1007/BF00343737zbMath0639.60062MaRDI QIDQ1099882

Gérard Ben Arous

Publication date: 1989

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

zbMATH Keywords

expansion of the solution of a stochastic differential equationinvariant diffusion on a Lie group

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Limit theorems in probability theory (60F99)

Related Items (49)

Non-exponential decay of the heat kernel ⋮ Asymptotic expansion of stochastic flows ⋮ A representation of solution of stochastic differential equations ⋮ Stochastic differential equations driven by loops in Carnot groups. ⋮ Trees and asymptotic expansions for fractional stochastic differential equations ⋮ A basis for iterated stochastic integrals ⋮ An efficient approximation method for stochastic differential equations by means of the exponential Lie series ⋮ Flows and stochastic Taylor series in Itô calculus ⋮ Basic Concepts of Numerical Analysis of Stochastic Differential Equations Explained by Balanced Implicit Theta Methods ⋮ Estimation of the density of the solution of the robust Zakaï equation ⋮ Asymptotic expansion of the hypoelliptic heat kernel on the diagonal ⋮ Flows Driven by Banach Space-Valued Rough Paths ⋮ Développement asymptotique du noyau de la chaleur hypoelliptique hors du cut-locus ⋮ Operators associated with a stochastic differential equation driven by fractional Brownian motions ⋮ On the stochastic Magnus expansion and its application to SPDEs ⋮ Perturbed linear rough differential equations ⋮ Calculating the Greeks by cubature formulae ⋮ On expansions for nonlinear systems error estimates and convergence issues ⋮ Quasi-geometric rough paths and rough change of variable formula ⋮ Holomorphic functions and the Itô chaos ⋮ Central limit theorems for non-symmetric random walks on nilpotent covering graphs. I ⋮ On a Chen-Fliess approximation for diffusion functionals ⋮ On explicit local solutions of Itô diffusions ⋮ Euler estimates for rough differential equations ⋮ Brownian Chen series and Atiyah-Singer theorem ⋮ Multiple integrals and expansion of solutions of differential equations driven by rough paths and by fractional Brownian motions ⋮ A construction of the rough path above fractional Brownian motion using Volterra's representation ⋮ On The Error Estimate for Cubature on Wiener Space ⋮ Small-time kernel expansion for solutions of stochastic differential equations driven by fractional Brownian motions ⋮ Convergence of the exponential Lie series ⋮ Singularities of hypoelliptic Green functions ⋮ Remarks on Taylor Series Expansions and Conditional Expectations for Stratonovich SDEs with Complete V‐Commutativity ⋮ Superposition rules and stochastic Lie-Scheffers systems ⋮ Functional series expansions for continuous-time switched systems ⋮ Product expansion for stochastic jump diffusions and its application to numerical approximation ⋮ Tail asymptotics of the Brownian signature ⋮ Stochastic integrals and Brownian motion on abstract nilpotent Lie groups ⋮ An isomorphism between branched and geometric rough paths ⋮ Yet another introduction to rough paths ⋮ Heat kernel analysis on semi-infinite Lie groups ⋮ A rough path perspective on renormalization ⋮ Algebraic structures and stochastic differential equations driven by Lévy processes ⋮ Cubature Methods and Applications ⋮ Small perturbation of stochastic parabolic equations: A power series analysis ⋮ \(n\)-covariation, generalized Dirichlet processes and calculus with respect to finite cubic variation processes. ⋮ Approximate solutions to second order parabolic equations. I: Analytic estimates ⋮ Quasi-shuffle algebras in non-commutative stochastic calculus ⋮ Décroissance exponentielle du noyau de la chaleur sur la diagonale. I. (Exponential decay of the heat kernel over the diagonal. I) ⋮ On Fliess operators driven by L ₂-Itô processes

Cites Work

• Mécanique aléatoire
• Seminaire de probabilités X. Universite de Strasbourg. Edite par P. A. Meyer
• Least action principle, heat propagation and subelliptic estimates on certain nilpotent groups
• On the gap between deterministic and stochastic ordinary differential equations
• Linear differential systems with singularities and an application to transitive Lie algebras
• Le spectre d'une variété riemannienne. (The spectrum of a Riemannian manifold)
• Stochastic differential equations and Nilpotent Lie algebras
• The complexity of stochastic differential equations
• A global formulation of the Lie theory of transformation groups
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