Pathwise Taylor expansions for Itô random fields (Q427951)

This article is devoted to the following pathwise stochastic Taylor expansion result. Let \(\xi\equiv\xi^{(0)}= \xi(t,x)\) be a random field on \([0,T]\times \mathbb{R}^d\) which is three-differentiable, in the sense that (roughly), for \(0\leq i\leq 2\) and smooth \(\xi^i_0\), \(F_i\), \(G_i\), one has NEWLINE\[NEWLINE\xi^{(i)}(t,x)= \xi^i_0(x)+ \int^t_0 F_i(x, \xi^{(i+1)}(s,x))\,ds+ \int^t_0 G_i(x, \xi^{(i+1)}(s, x))\,dB_s.NEWLINE\]NEWLINE Then, for any \(\alpha\in \;]\frac{1}{3},\frac{1}{2}[\) and \(m\in\mathbb{N}\), there exists an almost sure event \(\Omega_{\alpha,m}\) such that, for all \((t,x,\omega)\in [0,T]\times\overline B(0; m)\times \Omega_{\alpha, m}\) and \((t+ h,x+k)\in [0,T]\times\overline B(0,m)\), the following Taylor expansion holds: NEWLINE\[NEWLINE\begin{multlined} \xi(t+ h,x+ k)= \xi(t,x)+ ah+\langle p, k\rangle+ (b+\langle q,k\rangle)(B_{t+ h}- B_t)+ c(B_{t+h}-B_t)^2+\\ +\langle Xk,k\rangle+ (|h|+ |k|^2)^{3\alpha} R_{\alpha,m}(t,t+h,x,x+k),\end{multlined}NEWLINE\]NEWLINE for explicit coefficients \(a\), \(b\), \(c\), \(p\), \(q\), \(X\), and a locally bounded remainder term \(R_{\alpha, m}\).NEWLINENEWLINE Finally, the authors apply their result to stochastic PDEs and their stochastic viscosity solutions.