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- W4294558488 abstract "The solution of a (stochastic) differential equation (SDE) can be locally approximated by a stochastic expansion, a linear combination of iterated integrals. Quantities of interest, like moments, can then be approximated with the expansion. We present a formula for the case where the drivers of the equation are time and Wiener processes. We also present a Mathematica implementation of the result." @default.
- W4294558488 created "2022-09-04" @default.
- W4294558488 creator A5025117095 @default.
- W4294558488 date "2010-08-24" @default.
- W4294558488 modified "2023-09-30" @default.
- W4294558488 title "Expectation of Stratonovich iterated integrals of Wiener processes" @default.
- W4294558488 doi "https://doi.org/10.48550/arxiv.1008.4033" @default.
- W4294558488 hasPublicationYear "2010" @default.
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