Stochastic Taylor expansions for functionals of diffusion processes

Andreas Rößler*

*Corresponding author for this work
7 Citations (Scopus)


In this article, a stochastic Taylor expansion of some functional applied to the solution process of an Itô or Stratonovich stochastic differential equation with a multi-dimensional driving Wiener process is given. Therefore, the multi-colored rooted tree analysis is applied in order to obtain a transparent representation of the expansion which is similar to the B-series expansion for solutions of ordinary differential equations in the deterministic setting. Further, some estimates for the mean-square and the mean truncation errors are given.

Original languageEnglish
JournalStochastic Analysis and Applications
Issue number3
Pages (from-to)415-429
Number of pages15
Publication statusPublished - 01.05.2010


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