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Ito Integrals

  • Bernt Øksendal
Chapter
  • 416 Downloads
Part of the Universitext book series (UTX)

Abstract

We now turn to the question of finding a reasonable mathematical interpretation of the “noise” term in the equation of Problem 1:
$$ \frac{{dN}} {{dt}} = \left( {r\left( t \right) + ''noise''} \right)N\left( t \right)$$
or more generally in equations of the form
$$ \frac{{dX}} {{dt}} = b\left( {t,X_t } \right)''noise'',$$
(3.1)
where b and a are some given functions.

Keywords

Brownian Motion Stochastic Differential Equation Elementary Function Martingale Inequality Generalize Stochastic Process 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Berlin Heidelberg 1989

Authors and Affiliations

  • Bernt Øksendal
    • 1
  1. 1.Department of MathematicsUniversity of OsloBlindern, Oslo 3Norway

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