New Ito-Taylor expansions

[摘要] A new expression for weak truncated lto-Taylor expansions of functionals of Ito processes is proposed. The new truncated expansion is expressed, as in the ordinary case, in terms of powers of the increments of the variables. A systematic procedure to obtain such expansions and general results in order to avoid some parts of the calculation are presented. As an application, expansions of order up to 6 are derived. (C) 2003 Elsevier B.V. All fights reserved.

[发布日期] 2003-09-01

[效力级别]  Proceedings Paper

[关键词] stochastic differential equations;Ito-Taylor expansions;weak approximation