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Itô Integration and Calculus

  • Zeev Schuss
Chapter
Part of the Applied Mathematical Sciences book series (AMS, volume 170)

Abstract

The Brownian motion is nowhere differentiable with probability 1 (see the Paley–Wiener–Zygmund theorem in Chapter 2); it therefore makes not much sense to calculate integrals of the type that appear in the solution of Langevin’s equation (1.27).

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Copyright information

© Springer Science+Business Media, LLC 2010

Authors and Affiliations

  • Zeev Schuss
    • 1
  1. 1.Department of Applied MathematicsSchool of Mathematical Science Tel Aviv UniversityTel AvivIsrael

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