Chaos expansion for the solutions of stochastic differential equations

Authors
Banek, T
Citation
T. Banek, Chaos expansion for the solutions of stochastic differential equations, SYST CONTR, 36(5), 1999, pp. 351-358
Citations number
24
Categorie Soggetti
AI Robotics and Automatic Control
Journal title
SYSTEMS & CONTROL LETTERS
ISSN journal
01676911 → ACNP
Volume
36
Issue
5
Year of publication
1999
Pages
351 - 358
Database
ISI
SICI code
0167-6911(19990423)36:5<351:CEFTSO>2.0.ZU;2-T
Abstract
In this note we generalize the Isobe-Sato formula for kernels of the Wiener -Ito chaos expansion to nonautonomous systems. Expansion of a transition de nsity is obtained and some version of Wiener's famous "black-box" identific ation problem is solved. (C) 1999 Elsevier Science B.V. All rights reserved .