Abstract
The paper presents a generalized Taylor formula for solutions of stochastic equations which are semimartingales.
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References
Galtchouk, L.I.: On the predictable jumps of martingales. Proceedings of the Conference on Stochastic Differential Systems held in Vilnius 1978. Lect. Notes in Control and Inf. Sciences 25, Springer (1980), 50–57.
Jacod, J.: Calcul stochastique et problemes de martingales. Lect. Notes in Math. 714, Springer (1979).
Platen, E.: An approximation method for a class of Ito processes Liet. matem. rink. (1981) (to appear).
Platen, E.: A generalized Taylor formula for solutions of stochastic equation. SANKHYA, Ser. A (1981) (to appear).
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© 1981 Springer-Verlag
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Platen, E. (1981). A taylor formula for semimartingales solving a stochastic equation. In: Arató, M., Vermes, D., Balakrishnan, A.V. (eds) Stochastic Differential Systems. Lecture Notes in Control and Information Sciences, vol 36. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0006419
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DOI: https://doi.org/10.1007/BFb0006419
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Publisher Name: Springer, Berlin, Heidelberg
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