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math.PR2005
Stochastic Differential Equations: A Wiener Chaos Approach
S. V. Lototsky, B. L. Rozovskii
A new method is described for constructing a generalized solution for stochastic differential equations. The method is based on the Cameron-Martin version of the Wiener Chaos expan…
math.PR2005★ 53 cited
Wiener chaos solutions of linear stochastic evolution equations
S. V. Lototsky, B. L. Rozovskii
A new method is described for constructing a generalized solution of a stochastic evolution equation. Existence, uniqueness, regularity and a probabilistic representation of this W…