Wiener–Hermite expansion of a process generated by an Itô stochastic differential equation

DOI10.2307/3213587zbMath0528.60055OpenAlexW4252029633WikidataQ115228677 ScholiaQ115228677MaRDI QIDQ3308805

Shunsuke Sato, Etsuo Isobe

Publication date: 1983

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3213587

zbMATH Keywords

Ornstein-Uhlenbeck processmultiple Wiener integralsWiener kernelsBrownian functionals

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic processes (60G99)

Related Items (10)

A chaotic representation property of the multidimensional Dunkl processes ⋮ ON EXPLICIT STRONG SOLUTION OF ITÔ–SDE'S AND THE DONSKER DELTA FUNCTION OF A DIFFUSION ⋮ Chaotic representation for finite markov chains ⋮ The Homotopy Wiener-Hermite Expansion and Perturbation Technique (WHEP) ⋮ Banach random walk in the unit ball \(S\subset l^{2}\) and chaotic decomposition of \(l^{2}( S,\mathbb {P})\) ⋮ Multiple integrals and expansion of solutions of differential equations driven by rough paths and by fractional Brownian motions ⋮ Approximate solution of a mixed nonlinear stochastic oscillator ⋮ Diffusions, their derivatives and expansions in Wiener chaos ⋮ Chaos expansion for the solutions of stochastic differential equations ⋮ The asymptotic error of chaos expansion approximations for stochastic differential equations

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