Stochastic Taylor Expansions: Weight Functions of B-Series Expressed as Multiple Integrals

DOI10.1080/07362990903546504MaRDI QIDQ5305281zbMATH OpenOpenAlexFDO

Authors Kristian Debrabant, Anne Kværnø

Publication date 19 March 2010

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

Full work available at URL https://doi.org/10.1080/07362990903546504

zbMATH Keywords

B-seriesmultiple stochastic integralsstochastic differential equationsstochastic Taylor expansionsWagner-Platen series

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites work

• B–Series Analysis of Stochastic Runge–Kutta Methods That Use an Iterative Scheme to Compute Their Internal Stage Values
• General order conditions for stochastic Runge-Kutta methods for both commuting and non-commuting stochastic ordinary differential equation systems
• High strong order explicit Runge-Kutta methods for stochastic ordinary differential equations
• Relations between multiple ito and stratonovich integrals
• Rooted Tree Analysis for Order Conditions of Stochastic Runge-Kutta Methods for the Weak Approximation of Stochastic Differential Equations
• Rooted tree analysis of the order conditions of row-type scheme for stochastic differential equations
• Stochastic Taylor Expansions for the Expectation of Functionals of Diffusion Processes
• Stratonovich and Ito Stochastic Taylor Expansions

Cited in

(10)

• General order conditions for stochastic partitioned Runge-Kutta methods
• Multiple stochastic integrals appearing in the stochastic Taylor expansions
• Runge-Kutta methods for third order weak approximation of SDEs with multidimensional additive noise
• Stochastic Taylor Expansions for the Expectation of Functionals of Diffusion Processes
• Stochastic Taylor Expansions for Functionals of Diffusion Processes
• scientific article; zbMATH DE number 140575 (Why is no real title available?)
• Taylor expansions for continuous Stieltjes differential equations
• On an infinite integral arising in the numerical integration of stochastic differential equations
• Composition of stochastic B-series with applications to implicit Taylor methods
• B-series analysis of iterated Taylor methods

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