Stochastic Taylor Expansions for Functionals of Diffusion Processes

DOI10.1080/07362991003707905zbMATH Open1208.60069arXiv1310.6181OpenAlexW2097118902MaRDI QIDQ3578749FDOQ3578749

Authors: Andreas Rößler 

Publication date: 20 July 2010

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

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.

Full work available at URL: https://arxiv.org/abs/1310.6181

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zbMATH Keywords

stochastic differential equationstrong approximationstochastic Taylor expansionmean-square approximationmulti-colored rooted tree analysis

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) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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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
• Taylor approximation of stochastic functional differential equations with the Poisson jump
• A Runge-Kutta method for index 1 stochastic differential-algebraic equations with scalar noise
• Exponentiation of conditional expectations under stochastic volatility
• Stochastic Taylor expansion (Taylor-Itô) and numerical methods for stochastic differential equations
• Taylor expansion of the inverse function with application to the Langevin function
• Taylor expansions for continuous Stieltjes differential equations
• Stratonovich–Taylor expansion and numerical methods^∗
• Stochastic Taylor Expansions for the Expectation of Functionals of Diffusion Processes
• Taylor approximations for stochastic partial differential equations
• Taylor expansions of solutions of stochastic partial differential equations with additive noise
• 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

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