Generalized stochastic integrals for smooth functionals of the white noise
β Scribed by A. A. Dorogovtsev
- Book ID
- 112470987
- Publisher
- Springer
- Year
- 1989
- Tongue
- English
- Weight
- 395 KB
- Volume
- 41
- Category
- Article
- ISSN
- 0041-5995
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π SIMILAR VOLUMES
The relationship between the It6 and the Stratonovich integrals used for solving stochastic differential equations with Gaussian white noise is well known. However, this relationship seems to be less clear when dealing with stochastic differential equations driven by Poisson white noise. It is shown
We consider fast numerical methods for computing the response of stochastic systems. The stochastic discretization is performed via a Karhunen-LoΓ©ve and Wiener's polynomial chaos expansion. In truncating this expansion and using a Galerkin projection, a finite dimensional system of equations remains