Stochastic Taylor Expansions for the Expectation of Functionals of Diffusion Processes

DOI10.1081/SAP-200029495zbMath1065.60068arXiv1310.6169OpenAlexW2126867000MaRDI QIDQ3158191

Andreas Rößler

Publication date: 20 January 2005

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

Full work available at URL: https://arxiv.org/abs/1310.6169

zbMATH Keywords

stochastic Taylor expansiondiffusion processesStratonovich calculusweak approximationsItô calculusstochastic ordinary differential equationsstochastic multi-coloured rooted tree theory

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Numerical solutions to stochastic differential and integral equations (65C30) Series expansions (e.g., Taylor, Lidstone series, but not Fourier series) (41A58)

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Cites Work

• Order Conditions of Stochastic Runge--Kutta Methods by B-Series
• High strong order explicit Runge-Kutta methods for stochastic ordinary differential equations
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