Taylor expansions of solutions of stochastic partial differential equations with additive noise

@inproceedings{Jentzen2010TaylorEO,
  title={Taylor expansions of solutions of stochastic partial differential equations with additive noise},
  author={Arnulf Jentzen},
  year={2010}
}
  • Arnulf Jentzen
  • Published 2010
  • Mathematics
  • The solution of a parabolic stochastic partial differential equation (SPDE) driven by an infinite-dimensional Brownian motion is in general not a semi-martingale anymore and does in general not satisfy an Ito formula like the solution of a finite-dimensional stochastic ordinary differential equation (SODE). In particular, it is not possible to derive stochastic Taylor expansions as for the solution of a SODE using an iterated application of the Ito formula. Consequently, until recently, only… CONTINUE READING

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