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ito_integral [2016/07/06 13:02]
nikolaj
ito_integral [2016/07/06 13:14] (current)
nikolaj
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 One writes One writes
  
-${\mathrm d}X_t = \mu_t(X_ss) \, {\mathrm d}t + \sigma_t(X_ss) \, {\mathrm d}W_t$+${\mathrm d}X_t = \mu_t(X_tt) \, {\mathrm d}t + \sigma_t(X_tt) \, {\mathrm d}W_t$
  
 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 $X_t$. ​
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