Chaos expansion for the solutions of stochastic differential equations
- 23 April 1999
- journal article
- Published by Elsevier in Systems & Control Letters
- Vol. 36 (5) , 351-358
- https://doi.org/10.1016/s0167-6911(98)00108-x
Abstract
No abstract availableThis publication has 14 references indexed in Scilit:
- The Market Model of Interest Rate DynamicsMathematical Finance, 1997
- WIENER CHAOS: A NEW APPROACH TO OPTION HEDGINGMathematical Finance, 1996
- The Malliavin Calculus and Related TopicsPublished by Springer Nature ,1995
- Smoothness of Brownian local times and related functionalsPotential Analysis, 1992
- Chaos expansions and local timesPublicacions Matemàtiques, 1992
- The existence of smooth densities for the prediction filtering and smoothing problemsActa Applicandae Mathematicae, 1989
- Integration by Parts, Homogeneous Chaos Expansions and Smooth DensitiesThe Annals of Probability, 1989
- Generalized multiple stochastic integrals and the representation of wiener functionalsStochastics, 1988
- Wiener–Hermite expansion of a process generated by an Itô stochastic differential equationJournal of Applied Probability, 1983
- Multiple Wiener IntegralJournal of the Mathematical Society of Japan, 1951