A stochastic Taylor-like expansion in the rough path theory (Q1960239)
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scientific article
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| English | A stochastic Taylor-like expansion in the rough path theory |
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A stochastic Taylor-like expansion in the rough path theory (English)
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13 October 2010
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For a family of Ito maps indexed by a small parameter a Taylor expansion in the context of rough path theory is established. There are treated several cases of the roughness \(p\) including \(p=2,3,\dots\). As an application, the Laplace asymptotics for Ito functionals of Brownian rough paths is analyzed.
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rough path
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Taylor expansion
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