Splitting: Tanaka's SDE revisited

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dc.creatorwarren, Jon
dc.date1999-11-16
dc.date.accessioned2026-07-07T05:31:38Z
dc.date.available2026-07-07T05:31:38Z
dc.descriptionThe 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.
dc.description6 pages, LaTex2e
dc.identifierhttps://arxiv.org/abs/math/9911115
dc.identifierhttp://arxiv.org/abs/math/9911115
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/79416
dc.subjectProbability
dc.subject60G20 (Primary) 60J65, 60H20 (Secondary)
dc.titleSplitting: Tanaka's SDE revisited
dc.typetext

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