A systematic approach to a class of problems in the theory of noise and other random phenomena.

by A. J. F. Siegert, D. A. Darling

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The development of a perturbation formalism which relates the solutions of the integral equations belonging to two different functions <>. If the transition probability density for <> is the principal solution of two partial differential equations of the Fokker-Planck-Kolmogoroff type, the principal solution of two similar differential equations is the solution of the integral equations. Integral equations with a single variable are discussed, and several examples of quadratic functions of a stationary, n-dimensional, Markoffian Gaussian random process are presented.

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