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
stochastic Taylor expansionstochastic differential equationscontrol theoryChen-Fliess seriesdiffusion functionals
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)
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