Relations between multiple ito and stratonovich integrals

P. E. Kloeden and Eckhard Platen ()

Published Paper Series from Finance Discipline Group, UTS Business School, University of Technology, Sydney

Abstract: In this paper we investigate relations within and between sets of multiple Ito and Stratonovich integrals which are useful in the application of stochastic Taylor expansions of Ito processes. We obtain formulae expressing multiple Ito integrals in terms of multiple Stratonovich integrals and vice versa and also formulae relating multiple stochastic integrals of the same type

Keywords: Stochastic Integrals; Multiple Ito Integrals; Multiple Stratonovich Integrals; Ito Precesses; Stochastic Taylor Expansions (search for similar items in EconPapers)
Pages: 11 pages
Date: 1991-01-01
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Citations: View citations in EconPapers (2)

Published in: Kloeden, P. and Platen, E., 1991, "Relations Between Multiple Ito And Stratonovich Integrals", Stochastic Analysis And Applications, 9(3), 311-321.

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Persistent link: https://EconPapers.repec.org/RePEc:uts:ppaper:1991-1

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