The exponential Lie series for continuous semimartingales
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Publication:5363459
DOI10.1098/rspa.2015.0429zbMath1371.60113arXiv1506.07686OpenAlexW2242813885MaRDI QIDQ5363459
Kurusch Ebrahimi-Fard, Anke Wiese, Frédéric Patras, Simon J. A. Malham
Publication date: 29 September 2017
Published in: Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1506.07686
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)
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