STRATONOVICH AND ITO STOCHASTIC TAYLOR EXPANSIONS

被引：33

作者：

KLOEDEN, PE ^{[1
]}

PLATEN, E ^{[1
]}

机构：

[1] KARL WEIERSTRASS INST MATH,W-1086 BERLIN,GERMANY

来源：

MATHEMATISCHE NACHRICHTEN | 1991年 / 151卷

关键词：

D O I：

10.1002/mana.19911510103

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

The Stratonovich stochastic Taylor formula for diffusion processes is stated and proved. It has a simpler structure and is a more natural generalization of the deterministic Taylor formula than the Ito stochastic Taylor formula.

引用

页码：33 / 50

页数：18

共 9 条

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[3]

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[4]

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PLATEN, E .

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[6]

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[7]

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[8]

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[9]

WAGNER W, 1978, APPROXIMATION ITO IN

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