Small Perturbation of Stochastic Parabolic Equations: A Power Series Analysis

A semi-linear second-order stochastic parabolic equation is considered with coefficients, free terms, and initial condition depending on a parameter. It is shown that under some natural conditions the solution can be written as a power series in the parameter. The equations for the coefficients in the power series expansion are derived and the convergence of the power series is studied. An example from nonlinear filtering of diffusion process is discussed.