Expectation of Stratonovich iterated integrals of Wiener processes

Details Expectation of Stratonovich iterated integrals of Wiener processes Expectation of Stratonovich iterated integrals of Wiener processes

2010-08-24

arxiv.org/abs/1008.4033v1

Mathematics

Probability

4 pages

Scientific paper

The solution of a (stochastic) differential equation (SDE) can be locally approximated by a stochastic expansion, a linear combination of iterated integrals. Quantities of interest, like moments, can then be approximated with the expansion. We present a formula for the case where the drivers of the equation are time and Wiener processes. We also present a Mathematica implementation of the result.

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