AN INVESTIGATION INTO THE ENSEMBLE PROPERTIES OF A WIENER CANONICAL EXPANSION.
INFORMATION RESEARCH ASSOCIATES INC LEXINGTON MA
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In this paper consideration is given to an orthogonal expansion of functionals of a stochastic process xt. Derived is the explicit evaluation of the b sub k1 for a class of processes xt. The class considered is the class k sub m of differential process whose differential elements have finite second moments. After obtaining the coefficients b sub k1,..., k sub m, the asymptotic form of these terms for large values of k sub i and the upper bounds for these coefficients are given.
- Statistics and Probability