A basis for iterated stochastic integrals
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Publication:1897650
DOI10.1016/0378-4754(93)E0061-9zbMath0824.60046OpenAlexW2021134964MaRDI QIDQ1897650
Publication date: 4 September 1995
Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0378-4754(93)e0061-9
stochastic differential equationshuffle productproduct of Itô integralsstochastic Taylor series expansion
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Cites Work
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- Stochastic flows and Taylor series
- A natural ring basis for the shuffle algebra and an application to group schemes
- Asymptotic expansion of stochastic flows
- Stratonovich and Ito Stochastic Taylor Expansions
- Lyndon Words, Free Algebras and Shuffles
- The algebra of iterated stochastic integrals
- On Burnside's Problem
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