Stochastic Taylor Expansions for Functionals of Diffusion Processes
From MaRDI portal
Publication:3578749
stochastic differential equationstrong approximationstochastic Taylor expansionmean-square approximationmulti-colored rooted tree analysis
Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Series expansions (e.g., Taylor, Lidstone series, but not Fourier series) (41A58) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
Abstract: In the present paper, a stochastic Taylor expansion of some functional applied to the solution process of an It^o or Stratonovich stochastic differential equation with a multi-dimensional driving Wiener process is given. Therefore, the multi-colored rooted tree analysis is applied in order to obtain a transparent representation of the expansion which is similar to the B-series expansion for solutions of ordinary differential equations in the deterministic setting. Further, some estimates for the mean--square and the mean truncation errors are given.
Recommendations
- Stochastic Taylor Expansions for the Expectation of Functionals of Diffusion Processes
- New representations of the Taylor-Stratonovich expansion
- Taylor expansions of solutions of stochastic partial differential equations with additive noise
- Truncated ITÔ-Taylor expansions
- Stochastic Taylor Expansions: Weight Functions of B-Series Expressed as Multiple Integrals
- The unified Taylor-Itô expansion
- New Itô--Taylor expansions
- scientific article; zbMATH DE number 1380005
Cites work
- scientific article; zbMATH DE number 51724 (Why is no real title available?)
- scientific article; zbMATH DE number 711262 (Why is no real title available?)
- scientific article; zbMATH DE number 3438157 (Why is no real title available?)
- scientific article; zbMATH DE number 2114382 (Why is no real title available?)
- Order conditions of stochastic Runge--Kutta methods by B-series
- Rooted Tree Analysis for Order Conditions of Stochastic Runge-Kutta Methods for the Weak Approximation of Stochastic Differential Equations
- Stochastic Taylor Expansions for the Expectation of Functionals of Diffusion Processes
- Trees and asymptotic expansions for fractional stochastic differential equations
Cited in
(23)- High order numerical integrators for single integrand Stratonovich SDEs
- New Itô--Taylor expansions
- Short-term risk management using stochastic Taylor expansions under Lévy models
- A micro-macro acceleration method for the Monte Carlo simulation of stochastic differential equations
- A Runge-Kutta method for index 1 stochastic differential-algebraic equations with scalar noise
- Taylor approximation of stochastic functional differential equations with the Poisson jump
- Exponentiation of conditional expectations under stochastic volatility
- Stochastic Taylor expansion (Taylor-Itô) and numerical methods for stochastic differential equations
- Taylor expansions for continuous Stieltjes differential equations
- Taylor expansion of the inverse function with application to the Langevin function
- Stratonovich–Taylor expansion and numerical methods∗
- Stochastic Taylor Expansions for the Expectation of Functionals of Diffusion Processes
- Taylor expansions of solutions of stochastic partial differential equations with additive noise
- Taylor approximations for stochastic partial differential equations
- On a Chen-Fliess approximation for diffusion functionals
- Order conditions for sampling the invariant measure of ergodic stochastic differential equations on manifolds
- Stochastic expansions and Hopf algebras
- Pathwise Taylor expansions for random fields on multiple dimensional paths
- Stability analysis and classification of Runge-Kutta methods for index 1 stochastic differential-algebraic equations with scalar noise
- Truncated ITÔ-Taylor expansions
- Stochastic Runge-Kutta Rosenbrock type methods for SDE systems
- Inverse function, Taylor's expansion and extended Schröder's processes
- Unified Taylor-Itô expansion
This page was built for publication: Stochastic Taylor Expansions for Functionals of Diffusion Processes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3578749)
