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The Wiener--Askey Polynomial Chaos for Stochastic Differential Equations

✍ Scribed by Xiu, Dongbin; Karniadakis, George Em


Book ID
118118649
Publisher
Society for Industrial and Applied Mathematics
Year
2002
Tongue
English
Weight
439 KB
Volume
24
Category
Article
ISSN
1064-8275

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✍ Tadeusz Banek πŸ“‚ Article πŸ“… 1999 πŸ› Elsevier Science 🌐 English βš– 118 KB

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.