Stochastic Taylor Expansions for Functionals of Diffusion Processes
DOI10.1080/07362991003707905zbMath1208.60069arXiv1310.6181OpenAlexW2097118902MaRDI QIDQ3578749
Publication date: 20 July 2010
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1310.6181
stochastic differential equationstochastic Taylor expansionstrong approximationmean-square approximationmulti-colored rooted tree analysis
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Series expansions (e.g., Taylor, Lidstone series, but not Fourier series) (41A58)
Related Items (7)
Cites Work
- Trees and asymptotic expansions for fractional stochastic differential equations
- Order Conditions of Stochastic Runge--Kutta Methods by B-Series
- Stochastic Taylor Expansions for the Expectation of Functionals of Diffusion Processes
- Rooted Tree Analysis for Order Conditions of Stochastic Runge-Kutta Methods for the Weak Approximation of Stochastic Differential Equations
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