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Article | REF: AF105 V1

Stochastic Differential Equations

Author: Thierry CHONAVEL

Publication date: April 10, 2015, Review date: July 8, 2015 | Lire en français

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    3. EDS integration

    As with ordinary differential equations (ODE), it is generally not possible to obtain an analytical form for a stochastic differential equation (SDE). However, a number of SDEs do admit an analytic solution, which can often be obtained using Itô's formula. This section is devoted to presenting and manipulating the Itô formula through a few examples.

    3.1 Itô formula

    The integral example (47) is rewritten as follows

    12Bt2=
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