Stochastic Taylor Expansions for the Expectation of Functionals of Diffusion Processes

DOI10.1081/SAP-200029495MaRDI QIDQ3158191zbMATH OpenOpenAlexFDO

Authors Andreas Rößler

Publication date 20 January 2005

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1310.6169

zbMATH Keywords

diffusion processesweak approximationsstochastic Taylor expansionstochastic ordinary differential equationsStratonovich calculusItô calculusstochastic multi-coloured rooted tree theory

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Series expansions (e.g., Taylor, Lidstone series, but not Fourier series) (41A58) Numerical solutions to stochastic differential and integral equations (65C30)

Abstract: Stochastic Taylor expansions of the expectation of functionals applied to diffusion processes which are solutions of stochastic differential equation systems are introduced. Taylor formulas w.r.t. increments of the time are presented for both, It^o and Stratonovich stochastic differential equation systems with multi-dimensional Wiener processes. Due to the very complex formulas arising for higher order expansions, an advantageous graphical representation by coloured trees is developed. The convergence of truncated formulas is analyzed and estimates for the truncation error are calculated. Finally, the stochastic Taylor formulas based on coloured trees turn out to be a generalization of the deterministic Taylor formulas using plain trees as recommended by Butcher for the solutions of ordinary differential equations.

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Cited in

(35)

• Rooted Tree Analysis for Order Conditions of Stochastic Runge-Kutta Methods for the Weak Approximation of Stochastic Differential Equations
• A new class of structure-preserving stochastic exponential Runge-Kutta integrators for stochastic differential equations
• Runge-Kutta methods for Itô stochastic differential equations with scalar noise
• The aromatic bicomplex for the description of divergence-free aromatic forms and volume-preserving integrators
• High order numerical integrators for single integrand Stratonovich SDEs
• Exotic aromatic B-series for the study of long time integrators for a class of ergodic SDEs
• Taylor-series expansion for multivariate characteristics of classical risk processes
• New Itô--Taylor expansions
• A class of weak second order split-drift stochastic Runge-Kutta schemes for stiff SDE systems
• Efficient stochastic Runge-Kutta methods for stochastic differential equations with small noises
• Short-term risk management using stochastic Taylor expansions under Lévy models
• The numerical approximation of stochastic partial differential equations
• Second order Runge-Kutta methods for Stratonovich stochastic differential equations
• Efficient weak second-order stochastic Runge-Kutta methods for Itô stochastic differential equations
• A note on the Taylor series expansions for multivariate characteristics of classical risk processes
• Runge-Kutta methods for affinely controlled nonlinear systems
• B-series for SDEs with application to exponential integrators for non-autonomous semi-linear problems
• Order conditions for stochastic Runge-Kutta methods preserving quadratic invariants of Stratonovich SDEs
• Remarks on Taylor Series Expansions and Conditional Expectations for Stratonovich SDEs with Complete V‐Commutativity
• Stochastic Taylor Expansions: Weight Functions of B-Series Expressed as Multiple Integrals
• Taylor expansions of solutions of stochastic partial differential equations with additive noise
• Trees and asymptotic expansions for fractional stochastic differential equations
• Order conditions for sampling the invariant measure of ergodic stochastic differential equations on manifolds
• Analysis of a micro-macro acceleration method with minimum relative entropy moment matching
• Pathwise Taylor expansions for random fields on multiple dimensional paths
• Runge-Kutta methods for third order weak approximation of SDEs with multidimensional additive noise
• Truncated ITÔ-Taylor expansions
• Mean-square stability of 1.5 strong convergence orders of diagonally drift Runge-Kutta methods for a class of stochastic differential equations
• Stochastic Runge-Kutta Rosenbrock type methods for SDE systems
• Cheap arbitrary high order methods for single integrand SDEs
• Approximation of stochastic advection diffusion equations with stochastic alternating direction explicit methods.
• Composition of stochastic B-series with applications to implicit Taylor methods
• Inverse function, Taylor's expansion and extended Schröder's processes
• Stochastic Taylor Expansions for Functionals of Diffusion Processes
• General order conditions for stochastic partitioned Runge-Kutta methods

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