๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

On a discrete stochastic approximation and its application to data analysis

โœ 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

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๐Ÿ“œ SIMILAR VOLUMES


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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

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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,