Research output: Contribution to journal › Article

Journal | Monatshefte fur Mathematik |
---|---|

Date | E-pub ahead of print - 20 Aug 2014 |

Date | Published (current) - 2014 |

Issue number | 4 |

Volume | 175 |

Number of pages | 17 |

Pages (from-to) | 577-593 |

Early online date | 20/08/14 |

Original language | English |

We show that the so-called functional derivatives, as recently introduced by Dupire (Functional Ito calculus, SSRN, 2010), can provide intuitive meaning to classic expansions of path dependent functionals that appear in control theory (work of Brockett, Fliess, Sussmann et. al). We then focus on stochastic differential equations and show that vector fields can be lifted to act as derivations on such functionals. This allows to revisit and generalize the classic stochastic Taylor expansion to arrive at a Chen–Fliess approximation for smooth, path dependent functionals of SDEs with a corresponding (formula presented)-error estimate.

- Chen–Fliess series, Control theory, Stochastic Taylor expansion

Find related publications, people, projects, datasets and more using interactive charts.