Asymptotic expansions for SDE’s with small multiplicative noise

Sergio Albeverio and Boubaker Smii

Stochastic Processes and their Applications, 2015, vol. 125, issue 3, 1009-1031

Abstract: Asymptotic expansions are derived as power series in a small coefficient entering a nonlinear multiplicative noise and a deterministic driving term in a nonlinear evolution equation. Detailed estimates on remainders are provided.

Keywords: SDEs; Asymptotic expansions; Processes driven by multiplicative Lévy noise; Evolution equations (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1016/j.spa.2014.09.009

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