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
Exclusive to subscribers. 97% yet to be discovered!
Already subscribed? Log in!
EDS integration
Digital EDS integration
Bibliography
Exclusive to subscribers. 97% yet to be discovered!
Already subscribed? Log in!
Article included in this offer
"Mathematics"
(
168 articles
)
Updated and enriched with articles validated by our scientific committees
A set of exclusive tools to complement the resources
