Itô’s Formula and Stochastic Differential Equations
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.
KeywordsBrownian 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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© Springer Science+Business Media New York 2002