A representation of solution of stochastic differential equations

DOI10.1016/J.JMAA.2005.09.066zbMATH Open1095.60021OpenAlexW2071112512MaRDI QIDQ819670FDOQ819670

Authors: Yoon Tae Kim, Jong Woo Jeon 

Publication date: 29 March 2006

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2005.09.066

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zbMATH Keywords

Lie bracketsFormal power seriesExpansion of the solution of a stochastic differential equationIterated Stratonovich integrals

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cites Work

• Title not available (Why is that?)
• On the gap between deterministic and stochastic ordinary differential equations
• Title not available (Why is that?)
• Stochastic differential equations and Nilpotent Lie algebras
• Stochastic flows and Taylor series
• Asymptotic expansion of stochastic flows
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• Title not available (Why is that?)

Cited In (5)

• Multiple stochastic integrals appearing in the stochastic Taylor expansions
• Title not available (Why is that?)
• Resolvents of the Ito differential equations multiplicative with respect to the state vector
• Title not available (Why is that?)
• A remark on Kunita's decomposition theorem

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