On the It\^o-Alekseev-Gr\"obner formula for stochastic differential equations
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Publication:6311583
arXiv1812.09857MaRDI QIDQ6311583FDOQ6311583
Authors: Anselm Hudde, Martin Hutzenthaler, Arnulf Jentzen, Sara Mazzonetto 
Publication date: 24 December 2018
Abstract: In this article we establish a new formula for the difference of a test function of the solution of a stochastic differential equation and of the test function of an It^o process. The introduced formula essentially generalizes both the classical Alekseev-Gr"obner formula from the literature on deterministic differential equations as well as the classical It^o formula from stochastic analysis. The proposed It^o-Alekseev-Gr"obner formula is a powerful tool for deriving strong approximation rates for perturbations and approximations of stochastic ordinary and partial differential equations.
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