Itô’s Formula and Stochastic Differential Equations

  • Mircea Grigoriu


The probabilistic concepts reviewed in the previous chapters are applied to develop one of the most useful tools for the solution of stochastic problems, the Itô calculus.


Brownian Motion Stochastic Differential Equation Sample Path Quadratic Variation Stochastic Integral 
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Copyright information

© Springer Science+Business Media New York 2002

Authors and Affiliations

  • Mircea Grigoriu
    • 1
  1. 1.Cornell University School of Civil and Environmental EngineeringIthacaUSA

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