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Relations between multiple ito and stratonovich integrals

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Abstract

In this paper we investigate relations within and between sets of multiple Ito and Stratonovich integrals which are useful in the application of stochastic Taylor expansions of Ito processes. We obtain formulae expressing multiple Ito integrals in terms of multiple Stratonovich integrals and vice versa and also formulae relating multiple stochastic integrals of the same type

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  • P. E. Kloeden & Eckhard Platen, 1991. "Relations between multiple ito and stratonovich integrals," Published Paper Series 1991-1, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    • Handle: RePEc:uts:ppaper:1991-1
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    File URL: https://www.tandfonline.com/doi/abs/10.1080/07362999108809243
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    Cited by:

    1. Tocino, A., 2009. "Multiple stochastic integrals with Mathematica," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(5), pages 1658-1667.
    2. Chenxu Li & Yu An & Dachuan Chen & Qi Lin & Nian Si, 2016. "Efficient computation of the likelihood expansions for diffusion models," IISE Transactions, Taylor & Francis Journals, vol. 48(12), pages 1156-1171, December.

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