کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1155431 | 958726 | 2015 | 36 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Pathwise Taylor expansions for random fields on multiple dimensional paths
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
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چکیده انگلیسی
In this paper we establish the pathwise Taylor expansions for random fields that are “regular” in terms of Dupire’s path-derivatives [6]. Using the language of pathwise calculus, we carry out the Taylor expansion naturally to any order and for any dimension, which extends the result of Buckdahn et al. (2011). More importantly, the expansion can be both “forward” and “backward”, and the remainder is estimated in a pathwise manner. This result will be the main building block for our new notion of viscosity solution to forward path-dependent PDEs corresponding to (forward) stochastic PDEs in our accompanying paper Buckdahn et al. [4].
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 125, Issue 7, July 2015, Pages 2820–2855
Journal: Stochastic Processes and their Applications - Volume 125, Issue 7, July 2015, Pages 2820–2855
نویسندگان
Rainer Buckdahn, Jin Ma, Jianfeng Zhang,