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Stochastic Evolution Systems pp 279–314Cite as

Chaos Expansion for Linear Stochastic Evolution Systems

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Part of the book series: Probability Theory and Stochastic Modelling ((PTSM,volume 89))

Abstract

Separation of variables is widely used to study evolution equations. For deterministic equations, there are two variables to separate: time and space; the result is often an orthogonal expansion of the solution in the eigenfunctions of the operator in the equation.

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Authors and Affiliations

  1. Division of Applied Mathematics, Brown University, Providence, Rhode Island, USA

    Boris L. Rozovsky

  2. Department of Mathematics, University of Southern California, Los Angeles, California, USA

    Sergey V. Lototsky

Authors
  1. Boris L. Rozovsky
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  2. Sergey V. Lototsky
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Rozovsky, B.L., Lototsky, S.V. (2018). Chaos Expansion for Linear Stochastic Evolution Systems. In: Stochastic Evolution Systems. Probability Theory and Stochastic Modelling, vol 89. Springer, Cham. https://doi.org/10.1007/978-3-319-94893-5_8

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