Wiener–Hermite expansion of a process generated by an Itô stochastic differential equation
- 1 December 1983
- journal article
- Published by Cambridge University Press (CUP) in Journal of Applied Probability
- Vol. 20 (4) , 754-765
- https://doi.org/10.2307/3213587
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
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