Chaos expansion for the solutions of stochastic differential equations

被引：3
作者：
Banek, T [1 ]
机构：
[1] Tech Univ Lublin, Fac Management, Dept Operat Res, PL-20618 Lublin, Poland
来源：
SYSTEMS & CONTROL LETTERS | 1999年 / 36卷 / 05期
关键词：
homogeneous chaos; stochastic differential equations; black box;
D O I：
10.1016/S0167-6911(98)00108-X
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
In this note we generalize the Isobe-Sato formula for kernels of the Wiener-Ito chaos expansion to nonautonomous systems. Expansion of a transition density is obtained and some version of Wiener's famous "black-box" identification problem is solved. (C) 1999 Elsevier Science B.V. All rights reserved.
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收藏
页码：351 / 358
页数：8
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