✦ LIBER ✦

Chaos expansion for the solutions of stochastic differential equations

✍ Scribed by Tadeusz Banek

Publisher: Elsevier Science
Year: 1999
Tongue: English
Weight: 118 KB
Volume: 36
Category: Article
ISSN: 0167-6911
DOI: 10.1016/s0167-6911(98)00108-x

No coin nor oath required. For personal study only.

✦ Synopsis

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" identiÿcation problem is solved.

📜 SIMILAR VOLUMES

A cumulant expansion for stochastic line

A cumulant expansion for stochastic linear differential equations. II

✍ N.G. Van Kampen 📂 Article 📅 1974 🏛 Elsevier Science ⚖ 461 KB

Rate of decay for solutions of stochasti

Rate of decay for solutions of stochastic differential equations

✍ Thomas C Gard 📂 Article 📅 1977 🏛 Elsevier Science 🌐 English ⚖ 372 KB

On the behaviour of solutions of stochas

On the behaviour of solutions of stochastic differential equations

✍ G. Kersting 📂 Article 📅 1987 🏛 Elsevier Science 🌐 English ⚖ 126 KB

Pathwise uniqueness for solutions of sys

Pathwise uniqueness for solutions of systems of stochastic differential equations

✍ Thomas C. Gard 📂 Article 📅 1978 🏛 Elsevier Science 🌐 English ⚖ 748 KB

A laurent expansion for solutions of lin

A laurent expansion for solutions of linear elliptic differential equations

✍ Michael Balch 📂 Article 📅 1966 🏛 John Wiley and Sons 🌐 English ⚖ 439 KB 👁 1 views

GP 3754. Reproduction in whole or in part is permitted for any purpose of the United States Government. We shall sometimes write 0: for DL to avoid ambiguities. Standard vector notation is used throughout. The length of an n-vector x is written 1x1 ; dx denotes the element of volume in n-space, and

Generalized solutions of stochastic diff

Generalized solutions of stochastic differential equations for infinite particle systems

✍ R. Manthey 📂 Article 📅 1982 🏛 John Wiley and Sons 🌐 English ⚖ 874 KB