Remarks on Taylor Series Expansions and Conditional Expectations for Stratonovich SDEs with Complete V‐Commutativity

DOI10.1081/SAP-120022867zbMath1050.60062OpenAlexW2087226808MaRDI QIDQ4412398

Henri Schurz

Publication date: 14 July 2003

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

Full work available at URL: https://doi.org/10.1081/sap-120022867

zbMATH Keywords

commutativitystochastic ordinary differential equationsStratonovich-Taylor expansionsStratonovich-Taylor numerical methods

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Generation, random and stochastic difference and differential equations (37H10) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (1)

Basic Concepts of Numerical Analysis of Stochastic Differential Equations Explained by Balanced Implicit Theta Methods

Cites Work

• Stochastic flows and Taylor series
• Asymptotic expansion of stochastic flows
• Itô-Wiener chaos expansion with exact residual and correlation, variance inequalities
• A bound on the maximum strong order of stochastic Runge-Kutta methods for stochastic ordinary differential equations
• Stratonovich and Ito Stochastic Taylor Expansions
• On $L_p $-Theory of Stochastic Partial Differential Equations in the Whole Space
• A New Representation for Stochastic Integrals and Equations
• On a Formula Concerning Stochastic Differentials
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