Expectation of Stratonovich iterated integrals of Wiener processes
Probability
2010-08-25 v1
Abstract
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.
Keywords
Cite
@article{arxiv.1008.4033,
title = {Expectation of Stratonovich iterated integrals of Wiener processes},
author = {Christophe Ladroue},
journal= {arXiv preprint arXiv:1008.4033},
year = {2010}
}
Comments
4 pages