Stochastic Taylor Expansions for the Expectation of Functionals of Diffusion Processes (Q3158191)

The author considers systems of stochastic ordinary differential equations (SODEs) both in Itô and Stratonovich formulation, driven by a multi-dimensional Wiener process. In order to develop and analyse weak approximation methods, one needs stochastic Taylor expansions of \({\mathbf E}f(X_t)\), the expectation of a functional \(f\) of the solution \(X_t\) to the SODEs in both formulations. In this well-written article a representation of \({\mathbf E}f(X_t)\) in terms of truncated Taylor expansions and remainder terms is proved. Further, estimates of the remainder terms are given. The representations and the proofs are based on multi-coloured stochastic rooted tree theory. This generalizes the rooted tree theory well-known in the deterministic analysis of Runge-Kutta methods. In particular, the Taylor expansions derived here coincide with those derived in the deterministic setting if the diffusion term vanishes.