Stochastic Taylor Expansions for Functionals of Diffusion Processes
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mean-square approximationmulti-colored rooted tree analysisstochastic differential equationstochastic Taylor expansionstrong approximation
Series expansions (e.g., Taylor, Lidstone series, but not Fourier series) (41A58) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Diffusion processes (60J60) Numerical solutions to stochastic differential and integral equations (65C30)
Abstract: In the present paper, a stochastic Taylor expansion of some functional applied to the solution process of an It^o or Stratonovich stochastic differential equation with a multi-dimensional driving Wiener process is given. Therefore, the multi-colored rooted tree analysis is applied in order to obtain a transparent representation of the expansion which is similar to the B-series expansion for solutions of ordinary differential equations in the deterministic setting. Further, some estimates for the mean--square and the mean truncation errors are given.
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- scientific article; zbMATH DE number 1380005
Cites work
- scientific article; zbMATH DE number 51724 (Why is no real title available?)
- scientific article; zbMATH DE number 711262 (Why is no real title available?)
- scientific article; zbMATH DE number 3438157 (Why is no real title available?)
- scientific article; zbMATH DE number 2114382 (Why is no real title available?)
- Order conditions of stochastic Runge--Kutta methods by B-series
- Rooted Tree Analysis for Order Conditions of Stochastic Runge-Kutta Methods for the Weak Approximation of Stochastic Differential Equations
- Stochastic Taylor Expansions for the Expectation of Functionals of Diffusion Processes
- Trees and asymptotic expansions for fractional stochastic differential equations
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- Inverse function, Taylor's expansion and extended Schröder's processes
- Taylor approximations for stochastic partial differential equations
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- Taylor expansions for continuous Stieltjes differential equations
- A Runge-Kutta method for index 1 stochastic differential-algebraic equations with scalar noise
- Almost sure convergence of stochastic taylor expansions for functions of real-valued two-parameter continuous brownian semimartingales
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- A micro-macro acceleration method for the Monte Carlo simulation of stochastic differential equations
- On a Chen-Fliess approximation for diffusion functionals
- Stability analysis and classification of Runge-Kutta methods for index 1 stochastic differential-algebraic equations with scalar noise
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- Exponentiation of conditional expectations under stochastic volatility
- Stochastic Taylor expansion (Taylor-Itô) and numerical methods for stochastic differential equations
- Hopf algebra structures for the backward error analysis of ergodic stochastic differential equations
- A class of stochastic Runge-Kutta methods for stochastic differential equations converging uniformly with order 1 in L^p-norm
- Taylor expansions of solutions of stochastic partial differential equations with additive noise
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