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Application of rational expansion method for stochastic differential equations

✍ Scribed by MeiJiao Wang; Qi Wang


Book ID
113439959
Publisher
Elsevier Science
Year
2012
Tongue
English
Weight
181 KB
Volume
218
Category
Article
ISSN
0096-3003

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In this note we generalize the Isobe-Sato formula for kernels of the Wiener-Ito chaos expansion to nonautonomous systems. Expansion of a transition density is obtained and some version of Wiener's famous "black-box" identiΓΏcation problem is solved.