Buckdahn, Rainer; Ma, Jin; Zhang, Jianfeng - In: Stochastic Processes and their Applications 125 (2015) 7, pp. 2820-2855
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...