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Diffusions, their derivatives and expansions in Wiener chaos

✍ Scribed by Tadeusz Banek

Publisher
Elsevier Science
Year
2003
Tongue
English
Weight
276 KB
Volume
49
Category
Article
ISSN
0167-6911

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✦ Synopsis

Using the Isobe-Sato formula we identify derivatives of the random variable c(xT ), where xt is a di usion given by some SDE. It appears that the derivative is propagated by a system of linear ODEs driven by some functionals of the sample x (β€’) . This leads to a new integral representation of the kernels of chaos expansion which seems to be more convenient for performing numerical simulations.

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