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scientific article; zbMATH DE number 139951
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scientific article; zbMATH DE number 139951 |
Statements
28 March 1993
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homogeneous chaos
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structure equation
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Fock space
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chaos expansion
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chaos expansion for Markov chains
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0.755108118057251
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The article presents a brief survey of recent results on chaos expansion, mentioning the early work of Wiener and Itô, and recent contributions of Emery and Biane. Emery found the first example of a process having the chaos expansion property, but which is not a process of independent increments. An important property was that Emery's martingale satisfied the `structure equation' \(d[X,X]_ t=dt-X_ s-dX_ s\). Biane developed the chaos expansion for Markov chains. For the entire collection see [Zbl 0764.00003].
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