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

Published online by Cambridge University Press:  14 July 2016

Etsuo Isobe  and
Shunsuke Sato
Etsuo Isobe
Affiliation:
Osaka University
Shunsuke Sato*
Affiliation:
Osaka University
*
∗∗ Postal address: Department of Biophysical Engineering, Faculty of Engineering Science, Osaka University, Toyonaka, Osaka, 560 Japan.
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Abstract

In this paper we deal with the Wiener–Hermite expansion of a process generated by an Itô stochastic differential equation. The so-called Wiener kernels which appear in the functional series expansion are expressed in terms of the transition probability density function of the process.

Keywords

WIENER KERNEL
Type
Research Papers
Information
Journal of Applied Probability , Volume 20 , Issue 4 , December 1983 , pp. 754 - 765
Copyright
Copyright © Applied Probability Trust 1983 

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Footnotes

∗)

Present address: Mitsubishi Research Institute, Inc., Ootemachi, Chiyoda-ku, Tokyo 100, Japan.

References

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