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Itô’s Formula and Stochastic Differential Equations

  • Mircea Grigoriu

Abstract

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.

Keywords

Brownian Motion Stochastic Differential Equation Sample Path Quadratic Variation Stochastic Integral 
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 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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