Stratonovich and Ito Stochastic Taylor Expansions

P. E. Kloeden and Eckhard Platen ()

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

Abstract: The Stratonovich stochastic Taylor formula for diffusion processes is stated and proved. It has a simpler structure and is a more natural generalization of the deterministic Taylor formula than the Ito stochastic Taylor formula.

Pages: 18 pages
Date: 1991-01-01
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Citations: View citations in EconPapers (4)

Published in: Kloeden, P. and Platen, E., 1991, "Stratonovich And Ito Stochastic Taylor Expansions", Mathematische Nachrichten, 151, 33-50.

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