Nonlinear stochastic differential equations containing generalized delta processes (Q1758240): Difference between revisions

The authors consider some classes of stochastic nonlinear equations containing generalized delta processes and their derivatives. All the problems are solved in the framework of the theory of the Colombeau generalized stochastic processes. Stochastic differential equations are considered in the framework of white noise analysis and chaos expansions of generalized stochastic processes. The chaos expansion method for SDEs allows to replace the SDE with an infinite system of ODEs, which can be solved by deterministic Colombeau algebra methods, and then sum up the solutions into the chaos expansion form for the starting SDE. The main problem is to prove convergence of the chaos expansion series in the appropriate Kondratiev space. The authors concentrate on Gaussian measures and work with Gaussian white noise space. Three initial problems are studied, and the unbiasedness of the solutions is considered as well.