A representation of solution of stochastic differential equations

DOI10.1016/J.JMAA.2005.09.066MaRDI QIDQ819670zbMATH OpenOpenAlexFDO

Authors Yoon Tae Kim, Jong Woo Jeon

Publication date 29 March 2006

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmaa.2005.09.066

zbMATH Keywords

Lie bracketsFormal power seriesExpansion of the solution of a stochastic differential equationIterated Stratonovich integrals

Mathematics Subject Classification ID

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

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Cites work

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• Asymptotic expansion of stochastic flows
• On the gap between deterministic and stochastic ordinary differential equations
• Stochastic differential equations and Nilpotent Lie algebras
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(5)

• Multiple stochastic integrals appearing in the stochastic Taylor expansions
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• Resolvents of the Ito differential equations multiplicative with respect to the state vector
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• A remark on Kunita's decomposition theorem

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