Stochastic Taylor Expansions for Functionals of Diffusion Processes
نویسندگان
چکیده
منابع مشابه
Asymptotic Expansions for Stochastic Processes
The central limit theorems are the basis of the large sample statistics. In estimation theory, the asymptotic efficiency is evaluated by the asymptotic variance of estimators, and in testing statistical hypotheses, the critical region of a test is determined by the normal approximation. Though asymptotic properties of statistics are based on central limit theorems, the accuracy of their approxi...
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The solutions of parabolic and hyperbolic stochastic partial differential equations (SPDEs) driven by an infinite dimensional Brownian motion, which is a martingale, are in general not semi-martingales any more and therefore do not satisfy an Itô formula like the solutions of finite dimensional stochastic differential equations (SODEs). In particular, it is not possible to derive stochastic Tay...
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We are grateful to the referees and Benedikt Pötscher for their helpful and constructive comments+ The research of the first author was partially supported by OTKA grants T37668 and T43037 and NSF-OTKA grant INT0223262+ The research of the second author was partially supported by NATO grant PST+EAP+CLG 980599 and NSF-OTKA grant INT-0223262+ Address correspondence to István Berkes, Graz Universi...
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We compute the Wiener-Poisson expansion of square-integrable functionals of a nite number of Poisson jump times in series of multiple Poisson stochastic integrals.
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ژورنال
عنوان ژورنال: Stochastic Analysis and Applications
سال: 2010
ISSN: 0736-2994,1532-9356
DOI: 10.1080/07362991003707905