As multiple stochastic integrals are not very easy to simulate, we would like to treat them as solutions of systems of stochastic differential equations and solve them successively and recursively approximated by the stochastic Taylor expansion as a Chen series in terms of a Philip Hall basis or Lyn
โฆ LIBER โฆ
On a discrete stochastic approximation and its application to data analysis
โ Scribed by Ogihara, Shuhei; Ogawa, Shigeyoshi
- Book ID
- 120137667
- Publisher
- Walter de Gruyter GmbH & Co. KG
- Year
- 2003
- Tongue
- English
- Weight
- 255 KB
- Volume
- 9
- Category
- Article
- ISSN
- 0929-9629
No coin nor oath required. For personal study only.
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We derive a product expansion of the exponential Lie series in terms of a Philip Hall basis for the Chen series corresponding to the stochastic jump di usion as in Sussmann (in: C.I. Byrnes and A. Lindquist (Eds.), Theory and Applications of Nonlinear Control Systems, North-Holland, Amsterdam, 1986,
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