A representation of solution of stochastic differential equations

DOI10.1016/j.jmaa.2005.09.066zbMath1095.60021OpenAlexW2071112512MaRDI QIDQ819670

Jong Woo Jeon, Yoon Tae Kim

Publication date: 29 March 2006

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

Full work available at URL: https://doi.org/10.1016/j.jmaa.2005.09.066

zbMATH Keywords

Lie bracketsFormal power seriesExpansion of the solution of a stochastic differential equationIterated Stratonovich integrals

Mathematics Subject Classification ID

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

Cites Work

• Stochastic flows and Taylor series
• On the gap between deterministic and stochastic ordinary differential equations
• Asymptotic expansion of stochastic flows
• Stochastic differential equations and Nilpotent Lie algebras
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