Truncated ITÔ-Taylor expansions

DOI10.1081/SAP-120003443MaRDI QIDQ4542196zbMATH OpenFDO

Authors A. Tucino, R. Ardanuy

Publication date 1 August 2002

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

Full work available at URL https://doi.org/10.1081/SAP-120003443

zbMATH Keywords

stochastic differential equationstochastic Taylor expansion

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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• New Itô--Taylor expansions
• Stochastic Taylor Expansions for the Expectation of Functionals of Diffusion Processes
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Cites work

• A New Representation for Stochastic Integrals and Equations
• scientific article; zbMATH DE number 54145 (Why is no real title available?)
• scientific article; zbMATH DE number 3438157 (Why is no real title available?)
• Miscellanea. A statistical method of estimation and simulation for systems of stochastic differential equations

Cited in

(12)

• New Itô--Taylor expansions
• Short-term risk management using stochastic Taylor expansions under Lévy models
• Taylor expansions of solutions of stochastic partial differential equations
• Stochastic elasticity of vol-of-vol and pricing of variance swaps
• Unified Taylor-Itô expansion
• Stochastic Taylor Expansions for the Expectation of Functionals of Diffusion Processes
• Stratonovich and Ito Stochastic Taylor Expansions
• Stochastic Taylor Expansions for Functionals of Diffusion Processes
• Stratonovich–Taylor expansion and numerical methods^∗
• Strong convergence of stochastic taylor expansions of two-parameter random fields
• Mean-square stability of a constructed Third-order stochastic Runge--Kutta schemes for general stochastic differential equations
• Stochastic Taylor expansion (Taylor-Itô) and numerical methods for stochastic differential equations

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