Truncated ITÔ-Taylor expansions

DOI10.1081/SAP-120003443zbMath1002.60056MaRDI QIDQ4542196

A. Tucino, R. Ardanuy

Publication date: 1 August 2002

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

zbMATH Keywords

stochastic differential equationstochastic Taylor expansion

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (3)

Mean-square stability of a constructed Third-order stochastic Runge--Kutta schemes for general stochastic differential equations ⋮ New Itô--Taylor expansions ⋮ Stochastic elasticity of vol-of-vol and pricing of variance swaps

Cites Work

• Miscellanea. A statistical method of estimation and simulation for systems of stochastic differential equations
• A New Representation for Stochastic Integrals and Equations
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