The unified Taylor-Ito expansion

descriptionPublicationkeyboard_double_arrow_right Article 01 Apr 2000 English Publisher:Springer Science and Business Media LLCJournal:Journal of Mathematical Sciences, volume 99, pages 1,130-1,140 (issn: 1072-3374, eissn: 1573-8795,

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Authors: Kul'chitskij, O. Yu.; Kuznetsov, D. F.;

doi: 10.1007/bf02673635

The unified Taylor-Ito expansion

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Abstract

The authors transpose the known Taylor-Itô expansion for solutions of stochastic differential equations to the form which contains a smaller number of applied repeated stochastic integrals.

Keywords

repeated stochastic integrals, numerical integration of stochastic differential equations, Computational methods for stochastic equations (aspects of stochastic analysis), Stochastic ordinary differential equations (aspects of stochastic analysis)

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