On a Chen-Fliess approximation for diffusion functionals

DOI10.1007/s00605-014-0677-4zbMath1329.60185arXiv1110.2481OpenAlexW2013430828MaRDI QIDQ478500

Christian Litterer, Harald Oberhauser

Publication date: 3 December 2014

Published in: Monatshefte für Mathematik (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1110.2481

zbMATH Keywords

stochastic Taylor expansionstochastic differential equationscontrol theoryChen-Fliess seriesdiffusion functionals

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Functional calculus for linear operators (47A60) Diffusion processes (60J60) Functional limit theorems; invariance principles (60F17) Continuous and differentiable maps in nonlinear functional analysis (46T20) Control problems involving ordinary differential equations (34H99)

Related Items (3)

Short Communication: Projection of Functionals and Fast Pricing of Exotic Options ⋮ Signature-Based Models: Theory and Calibration ⋮ Pathwise Taylor expansions for random fields on multiple dimensional paths

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