New Itô–Taylor expansions
作者:
Highlights:
•
摘要
A new expression for weak truncated Itô–Taylor expansions of functionals of Itô 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.
论文关键词:Stochastic differential equations,Itô–Taylor expansions,Weak approximation
论文评审过程:Received 15 October 2002, Revised 10 January 2003, Available online 15 July 2003.
论文官网地址:https://doi.org/10.1016/S0377-0427(03)00464-3