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Stratonovich and Ito Stochastic Taylor Expansions
Author(s) -
Kloeden P. E.,
Platen E.
Publication year - 1991
Publication title -
mathematische nachrichten
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.913
H-Index - 50
eISSN - 1522-2616
pISSN - 0025-584X
DOI - 10.1002/mana.19911510103
Subject(s) - taylor series , mathematics , generalization , taylor's theorem , diffusion , mathematical analysis , thermodynamics , physics
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.