New representations of the Taylor-Stratonovich expansion

DOI10.1023/A:1026138522239zbMATH Open1075.60057MaRDI QIDQ1781265FDOQ1781265

Authors: D. F. Kuznetsov 

Publication date: 23 June 2005

Published in: Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

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zbMATH Keywords

stochastic differential equationdiffusion processTaylor expansionmulitple Stratonovich integralItô integral

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05)

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• Development and application of the Fourier method for the numerical solution of Ito stochastic differential equations
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• Multiple stochastic integrals appearing in the stochastic Taylor expansions
• Mean-square approximation of iterated Ito and Stratonovich stochastic integrals: method of generalized multiple Fourier series. Application to numerical integration of Ito SDEs and semilinear SPDEs
• Taylor expansions for continuous Stieltjes differential equations
• Remarks on Taylor Series Expansions and Conditional Expectations for Stratonovich SDEs with Complete V‐Commutativity
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• Stochastic Taylor Expansions for the Expectation of Functionals of Diffusion Processes
• Expansion of iterated Stratonovich stochastic integrals based on generalized multiple Fourier series
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• On numerical modeling of the multidimensional dynamic systems under random perturbations with the 1.5 and 2.0 orders of strong convergence
• Mean-square approximation of iterated Ito and Stratonovich stochastic integrals: method of generalized multiple Fourier series. Application to numerical integration of Ito SDEs and semilinear SPDEs
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• Unified Taylor-Itô expansion
• Stochastic Taylor Expansions for Functionals of Diffusion Processes

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