A Taylor approximation method of stochastic integro-differential equations

MaRDI QIDQ5398935zbMATH OpenFDO

Authors Weiguo Liu, Xinmei Liu

Publication date 28 February 2014

zbMATH Keywords

\({\mathcal L}^p\)-convergenceanalytic approximationstochastic integro-differential equationsTaylor expansion

Mathematics Subject Classification ID

Stochastic functional-differential equations (34K50) Series expansions (e.g., Taylor, Lidstone series, but not Fourier series) (41A58) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integral equations (60H20)

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• General Full Implicit Strong Taylor Approximations for Stiff Stochastic Differential Equations
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• Approximation of triple stochastic integrals through region subdivision
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• Higher-order semi-implicit Taylor schemes for Itô stochastic differential equations
• Taylor schemes for rough differential equations and fractional diffusions
• Approximation of transition densities of stochastic differential equations by saddlepoint methods applied to small-time Ito-Taylor sample-path expansions

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