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Problemy Peredachi Informatsii, 1992, Volume 28, Issue 3, Pages 60–67
(Mi ppi1356)
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This article is cited in 1 scientific paper (total in 1 paper)
Methods of Signal Processing
Exact Asymptotic Expression for the Density of Multiple Stochastic Integrals
E. I. Ostrovskii
Abstract:
We consider the exact asymptotic expression for the density of multiple stochastic integrals of the form
\begin{gather*}
I-m(h)=\int_{X^m}h(x_1,x_2,\dots,x_m)\prod_{i=1}^mZ_G(dx_i),
\end{gather*}
where $Z_G$ is the Gaussian orthogonal stochastic measure. In the two-dimensional case the result is general; for $m>2$, the kernel $h$ is required to satisfy the orthogonal symmetry condition.
Received: 04.10.1991
Citation:
E. I. Ostrovskii, “Exact Asymptotic Expression for the Density of Multiple Stochastic Integrals”, Probl. Peredachi Inf., 28:3 (1992), 60–67; Problems Inform. Transmission, 28:3 (1992), 250–257
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