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ito_integral [2016/07/06 13:02] nikolaj |
ito_integral [2016/07/06 13:14] nikolaj |
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One writes | One writes | ||
- | ${\mathrm d}X_t = \mu_t(X_s, s) \, {\mathrm d}t + \sigma_t(X_s, s) \, {\mathrm d}W_t$ | + | ${\mathrm d}X_t = \mu_t(X_t, t) \, {\mathrm d}t + \sigma_t(X_t, t) \, {\mathrm d}W_t$ |
If $X_t$ isn't known, this is called a stochastic differential equation in $X_t$. | If $X_t$ isn't known, this is called a stochastic differential equation in $X_t$. |