Multiple Wiener Integral

نویسندگان

چکیده

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Wiener Filtering Using the Invert/Transform Integral

The invert transform approach can be useful in teaching subjects where convolutions are introduced or used, as in signals and systems courses. In this paper, we demonstrate that the approach can also simplify the presentation and implementation of the Wiener Filter when introduced to advanced undergraduate or entry level graduate students in statistical signal processing and Kalman filtering co...

متن کامل

A Generalization of the Wiener - Hopf Integral

where now N(x) is integrable in any interval which excludes the origin, O(e') as x -i o and O('/x) as x -O 0. The plus sign in the kernel now changes the entire mode of attack. While Fourier transform methods still play a dominant r6le in our work, we cannot solve the equation (1.2) in one fell swoop as we do equation (1.1). Instead we find it necessary to take advantage of the special assumpti...

متن کامل

Henstock's multiple wiener integral and henstock's version of hu-meyer theorem

K e y w o r d s M u l t i p l e Wiener integral, Hu-Meyer theorem, Henstock integral. 1. I N T R O D U C T I O N Classically, it is well known that the Riemann approach cannot be used to define stochastic integrals. However, it has been proved that the generalized Riemann approach (with nonuniform meshes), also called the Henstock's approach, can be used to study stochastic integrals. See detai...

متن کامل

Recursive Multiple Wiener Integral Expansion for Nonlinear Filtering of Diffusion Processes

A recursive in time Wiener chaos representation of the optimal nonlinear filter is derived for a time homogeneous diffusion model with uncorrelated noises. The existing representations are either not recursive or require a prior computation of the unnormalized filtering density, which is time consuming. An algorithm is developed for computing a recursive approximation of the filter, and the err...

متن کامل

Stochastic Integral with respect to Cylindrical Wiener Process

This paper is devoted to a construction of the stochastic Itô integral with respect to infinite dimensional cylindrical Wiener process. The construction given is an alternative one to that introduced by DaPrato and Zabczyk [3]. The connection of the introduced integral with the integral defined by Walsh [9] is provided as well.

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Journal of the Mathematical Society of Japan

سال: 1951

ISSN: 0025-5645

DOI: 10.2969/jmsj/00310157