Chaotic representation for finite markov chains

DOI10.1080/17442509008833632MaRDI QIDQ3197072zbMATH OpenOpenAlexFDO

Authors Philippe Biane

Publication date 1990

Published in Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442509008833632

zbMATH Keywords

Markov chainQ-matrixchaos decompositionchaotic representation property

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44) Continuous-time Markov processes on discrete state spaces (60J27)

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Cites work

• Quantum Ito's formula and stochastic evolutions
• Spectral Type of the Shift Transformation of Differential Processes With Stationary Increments
• The Homogeneous Chaos
• Wiener–Hermite expansion of a process generated by an Itô stochastic differential equation

Cited in

(12)

• scientific article; zbMATH DE number 18210 (Why is no real title available?)
• scientific article; zbMATH DE number 4172106 (Why is no real title available?)
• Itô's stochastic calculus and Heisenberg commutation relations
• Discrete chaotic calculus and covariance identities
• Chaos representations for marked point processes
• Perturbation analysis and Malliavin calculus
• A representation result for finite Markov chains
• WIENER CHAOS: A NEW APPROACH TO OPTION HEDGING
• A chaotic representation property of the multidimensional Dunkl processes
• AN IMPROVEMENT OF MARKOVIAN INTEGRATION BY PARTS FORMULA AND APPLICATION TO SENSITIVITY COMPUTATION
• On logarithmic Sobolev inequalities for normal martingales
• scientific article; zbMATH DE number 4190828 (Why is no real title available?)

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