Stochastic Taylor Expansions for Functionals of Diffusion Processes

DOI10.1080/07362991003707905zbMath1208.60069arXiv1310.6181OpenAlexW2097118902MaRDI QIDQ3578749

Andreas Rößler

Publication date: 20 July 2010

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

Full work available at URL: https://arxiv.org/abs/1310.6181

zbMATH Keywords

stochastic differential equationstochastic Taylor expansionstrong approximationmean-square approximationmulti-colored rooted tree analysis

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Series expansions (e.g., Taylor, Lidstone series, but not Fourier series) (41A58)

Related Items (7)

Order conditions for sampling the invariant measure of ergodic stochastic differential equations on manifolds ⋮ A Micro-Macro Acceleration Method for the Monte Carlo Simulation of Stochastic Differential Equations ⋮ High order numerical integrators for single integrand Stratonovich SDEs ⋮ A Runge-Kutta method for index 1 stochastic differential-algebraic equations with scalar noise ⋮ Stability analysis and classification of Runge-Kutta methods for index 1 stochastic differential-algebraic equations with scalar noise ⋮ Stochastic Runge-Kutta Rosenbrock type methods for SDE systems ⋮ Exponentiation of conditional expectations under stochastic volatility

Cites Work

• Trees and asymptotic expansions for fractional stochastic differential equations
• Order Conditions of Stochastic Runge--Kutta Methods by B-Series
• Stochastic Taylor Expansions for the Expectation of Functionals of Diffusion Processes
• Rooted Tree Analysis for Order Conditions of Stochastic Runge-Kutta Methods for the Weak Approximation of Stochastic Differential Equations
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