Abstract
In this rather demanding chapter we present the Wagner-Platen expansion for solutions of SDEs with jumps. This stochastic expansion generalizes the deterministic Taylor formula and the Wagner-Platen expansion for diffusions to the case of SDEs with jumps. It allows expanding the increments of smooth functions of Itô processes in terms of multiple stochastic integrals. As we will see, it is the key tool for the construction of stochastic numerical methods and very convenient for other approximation tasks.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
Author information
Authors and Affiliations
Corresponding author
Rights and permissions
Copyright information
© 2010 Springer-Verlag Berlin Heidelberg
About this chapter
Cite this chapter
Platen, E., Bruti-Liberati, N. (2010). Stochastic Expansions. In: Numerical Solution of Stochastic Differential Equations with Jumps in Finance. Stochastic Modelling and Applied Probability, vol 64. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-13694-8_4
Download citation
DOI: https://doi.org/10.1007/978-3-642-13694-8_4
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-642-12057-2
Online ISBN: 978-3-642-13694-8
eBook Packages: Mathematics and StatisticsMathematics and Statistics (R0)