scientific article; zbMATH DE number 139951

MaRDI QIDQ4028301zbMATH OpenFDO

Authors Paul-André Meyer

Publication date 28 March 1993

zbMATH Keywords

chaos expansionchaos expansion for Markov chainsFock spacehomogeneous chaosstructure equation

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Quantum stochastic calculus (81S25)

Review text

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].

Recommendations

• Martingale Representation Theorem and Chaos Expansion
• scientific article; zbMATH DE number 897988
• scientific article; zbMATH DE number 18212
• scientific article; zbMATH DE number 17119
• scientific article; zbMATH DE number 4072056

Cited in

(2)

• scientific article; zbMATH DE number 19560 (Why is no real title available?)
• Martingale Representation Theorem and Chaos Expansion

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4028301)