Stochastic Differential Equations : The complete Itô collection

The complete Itô collection
Stochastic Differential Equations

Author : Thierry CHONAVEL

Review date: July 8, 2015 | Lire en français

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2. The complete Itô collection

A classical differential equation is often given in the explicit form

\frac{d x_{t}}{d t} = b_{t} (x_{t}) .

^( 22 )

Note that equations of order n > 1, i.e. involving derivatives of x_t up to order n, can also in general be formulated from the equation (22)...

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The complete Itô collection

(1) - APPLEBAUM (D.) - Lévy processes and stochastic calculus - Cambridge University Press (2009).
(2) - BILLINGSLEY (P.) - Convergence of probability measures - Wiley (1968).
(3) - BLADT (M.), SØRENSEN...

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