Flows and stochastic Taylor series in Itô calculus

DOI10.1088/1751-8113/48/49/495202zbMath1416.60058arXiv1504.07226OpenAlexW2268373246MaRDI QIDQ3462558

Frédéric Patras, Anke Wiese, Kurusch Ebrahimi-Fard, Simon J. A. Malham

Publication date: 15 January 2016

Published in: Journal of Physics A: Mathematical and Theoretical (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1504.07226

zbMATH Keywords

Itô integralsemimartingalesstochastic differential systemChen-Strichartz formulaquasi-shuffle algebrastochastic Taylor series

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05)

Related Items (7)

Tropical Time Series, Iterated-Sums Signatures, and Quasisymmetric Functions ⋮ Quasi‐shuffle algebras and renormalisation of rough differential equations ⋮ Quasi-geometric rough paths and rough change of variable formula ⋮ Lie Theory for Quasi-Shuffle Bialgebras ⋮ A theory of pictures for quasi-posets ⋮ Algebraic structures and stochastic differential equations driven by Lévy processes ⋮ Quasi-shuffle algebras in non-commutative stochastic calculus

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