Chaos expansion for the solutions of stochastic differential equations
DOI10.1016/S0167-6911(98)00108-XzbMath0915.93040OpenAlexW2037758566MaRDI QIDQ1285774
Publication date: 28 April 1999
Published in: Systems \& Control Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0167-6911(98)00108-x
identificationstochastic differential equationstransition densityhomogeneous chaosnonautonomous systemsblack boxIsobe-Sato formulaWiener-Ito chaos expansion
System identification (93B30) Nonlinear systems in control theory (93C10) Strange attractors, chaotic dynamics of systems with hyperbolic behavior (37D45) Model systems in control theory (93C99)
Related Items (3)
Cites Work
- The Malliavin calculus
- Régularité \(C^{\infty}\) des noyaux de Wiener d'une diffusion. \((C^{\infty}\)-regularity of Wiener kernels of a diffusion)
- Malliavin derivatives and derivatives of functionals of the Wiener process with respect to a scale parameter
- Integration by parts, homogeneous chaos expansions and smooth densities
- Smoothness of Brownian local times and related functionals
- The existence of smooth densities for the prediction filtering and smoothing problems
- Chaos expansions and local times
- Multiple Wiener integral
- Wiener–Hermite expansion of a process generated by an Itô stochastic differential equation
- Multiple Integral Expansions for Nonlinear Filtering
- Generalized multiple stochastic integrals and the representation of wiener functionals
- WIENER CHAOS: A NEW APPROACH TO OPTION HEDGING
- The Market Model of Interest Rate Dynamics
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
This page was built for publication: Chaos expansion for the solutions of stochastic differential equations