On the It\^o-Alekseev-Gr\"obner formula for stochastic differential equations

24 Dec 2018 Hudde Anselm Hutzenthaler Martin Jentzen Arnulf Mazzonetto Sara

In this article we establish a new formula for the difference of a test function of the solution of a stochastic differential equation and of the test function of an It\^o process. The introduced formula essentially generalizes both the classical Alekseev-Gr\"obner formula from the literature on deterministic differential equations as well as the classical It\^o formula from stochastic analysis... (read more)

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