Spectral representation of stochastic integration operators
نویسندگان
چکیده
The spectral representation for stochastic integration operators with respect to the Wiener process is proposed in form of a composition characteristics used mathematical description control systems. This can be defined relative various orthonormal bases. For given deterministic square-integrable kernels, characteristic operator determined as an infinite random matrix. main applications such suppose solving linear differential equations and modeling multiple or iterated Stratonovich integrals. Specific formulas are provided that allow represent operator, kernel which Heaviside function, Walsh functions trigonometric functions.
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ژورنال
عنوان ژورنال: MATEC web of conferences
سال: 2022
ISSN: ['2261-236X', '2274-7214']
DOI: https://doi.org/10.1051/matecconf/202236201027