Chaos expansion for the solutions of stochastic differential equations

DOI10.1016/S0167-6911(98)00108-XzbMath0915.93040OpenAlexW2037758566MaRDI QIDQ1285774

Tadeusz Banek

Publication date: 28 April 1999

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-6911(98)00108-x

zbMATH Keywords

identificationstochastic differential equationstransition densityhomogeneous chaosnonautonomous systemsblack boxIsobe-Sato formulaWiener-Ito chaos expansion

Mathematics Subject Classification ID

System identification (93B30) Nonlinear systems in control theory (93C10) Strange attractors, chaotic dynamics of systems with hyperbolic behavior (37D45) Model systems in control theory (93C99)

Related Items (3)

A method for analysis of linear dynamic systems driven by stationary non-Gaussian noise with applications to turbulence-induced random vibration ⋮ Diffusions, their derivatives and expansions in Wiener chaos ⋮ Numerical procedures for random differential equations

Cites Work

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