A Chen-Fliess approximation for diffusion functionals
Probability
2011-11-10 v2
Abstract
We show that an interesting class of functionals of stochastic differential equations can be approximated by a Chen-Fliess series of iterated stochastic integrals and give a L^{2} error estimate, thus generalizing the standard stochastic Taylor expansion. The coefficients in this series are given a very intuitive meaning by using functional derivatives, recently introduced by B. Dupire.
Cite
@article{arxiv.1110.2481,
title = {A Chen-Fliess approximation for diffusion functionals},
author = {Christian Litterer and Harald Oberhauser},
journal= {arXiv preprint arXiv:1110.2481},
year = {2011}
}
Comments
extended introduction, references added, changed title, minor typos fixed