New Itô--Taylor expansions (Q1408408)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | New Itô--Taylor expansions |
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New Itô--Taylor expansions (English)
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15 September 2003
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Weak Itô-Taylor expansions are presented for the functional \(f(t, X_t)\), where \(X_t\) is the solution of a vector Itô stochastic differential equation. A systematic approach for finding the terms in the expansions is described and then used to list the terms up to order 6 for the one-dimensional case.
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stochastic differential equations
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Itô-Taylor expansions
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weak approximation
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