Splitting: Tanaka's SDE revisited

Details Splitting: Tanaka's SDE revisited Splitting: Tanaka's SDE revisited

1999-11-16

arxiv.org/abs/math/9911115v1

Mathematics

Probability

6 pages, LaTex2e

Scientific paper

The weak solution of Tanaka's SDE is not a function of the driving Brownian motion, and therefore it has no Wiener chaos expansion. However in some sense explained here it has a generalised chaos expansion involving infinite products of stochastic differentials accumulating at the minimum of the Brownian path. This is related to the existence of a non-classical noise richer than the usual white noise.

Affiliated with

Also associated with

No associations

Rating

Splitting: Tanaka's SDE revisited does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Splitting: Tanaka's SDE revisited, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Splitting: Tanaka's SDE revisited will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-304738