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arXiv · 1110.2481

A Chen-Fliess approximation for diffusion functionals

Christian Litterer·Harald Oberhauser
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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.

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Christian Litterer, Harald Oberhauser. 2011-11-09. A Chen-Fliess approximation for diffusion functionals. https://arxiv.org/abs/1110.2481

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