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Stratonovich and Ito Stochastic Taylor Expansions

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Abstract

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.

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  • P. E. Kloeden & Eckhard Platen, 1991. "Stratonovich and Ito Stochastic Taylor Expansions," Published Paper Series 1991-2, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    • Handle: RePEc:uts:ppaper:1991-2
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    File URL: https://onlinelibrary.wiley.com/doi/abs/10.1002/mana.19911510103
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    Cited by:

    1. Castell, Fabienne & Gaines, Jessica, 1995. "An efficient approximation method for stochastic differential equations by means of the exponential Lie series," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 38(1), pages 13-19.
    2. Frezza, Massimiliano, 2012. "Modeling the time-changing dependence in stock markets," Chaos, Solitons & Fractals, Elsevier, vol. 45(12), pages 1510-1520.
    3. Gaines, J.G., 1995. "A basis for iterated stochastic integrals," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 38(1), pages 7-11.

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