Treffer: Stochastic Taylor Expansions for Functionals of Diffusion Processes
Title:
Stochastic Taylor Expansions for Functionals of Diffusion Processes
Authors:
Source:
Stochastic analysis and applications. 28(3):415-429
Publisher Information:
Philadelphia, PA: Taylor & Francis, 2010.
Publication Year:
2010
Physical Description:
print, 12 ref
Original Material:
INIST-CNRS
Subject Terms:
Control theory, operational research, Automatique, recherche opérationnelle, Mathematics, Mathématiques, Sciences exactes et technologie, Exact sciences and technology, Sciences et techniques communes, Sciences and techniques of general use, Mathematiques, Mathematics, Probabilités et statistiques, Probability and statistics, Théorie des probabilités et processus stochastiques, Probability theory and stochastic processes, Processus stochastiques, Stochastic processes, Analyse stochastique, Stochastic analysis, Processus de markov, Markov processes, Analyse stochastique, Stochastic analysis, Análisis estocástico, Développement série, Series expansion, Desarrollo serie, Equation Itô, Itô equation, Ecuación Itô, Equation différentielle, Differential equation, Ecuación diferencial, Erreur quadratique moyenne, Mean square error, Error medio cuadrático, Estimation moyenne, Mean estimation, Estimación promedio, Expansion, Expansión, Fonctionnelle, Functional, Funciónal, Processus Wiener, Wiener process, Proceso Wiener, Processus diffusion, Diffusion process, Proceso difusión, 60H10, 60J60, Développement mathématique, Mathematical expansion, Equation Stratonovich, Processus Ito, Ito process
Document Type:
Fachzeitschrift
Article
File Description:
text
Language:
English
Author Affiliations:
Technische Universität Darmstadt, Fachbereich Mathematik, Darmstadt, Germany
ISSN:
0736-2994
Rights:
Copyright 2015 INIST-CNRS
CC BY 4.0
Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS
CC BY 4.0
Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS
Notes:
Mathematics
Accession Number:
edscal.22853308
Database:
PASCAL Archive
Weitere Informationen
In this article, a stochastic Taylor expansion of some functional applied to the solution process of an Itô 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 estintates for the mean-square and the mean truncation errors are given.