Wiener–Hermite expansion of a process generated by an Itô stochastic differential equation
1983 ◽
Vol 20
(04)
◽
pp. 754-765
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Keyword(s):
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.
2004 ◽
Vol 2004
(0)
◽
pp. _117-1_-_117-5_
2004 ◽
Vol 2004.41
(0)
◽
pp. 209-210
2018 ◽
Vol 54
◽
pp. 87-94
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1970 ◽
Vol 12
(1)
◽
pp. 25-32
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