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Itovsn3

Guides

  • Main

Tech Notes

  • Bessel
  • BlackScholes
  • ItoArea
  • MardiaDryden
  • Reflect
  • Stochastic Integration

Symbols

  • AddDrift
  • AddFixed
  • AddQuadVar
  • Brktbydt
  • BrownBasis
  • BrownSingle
  • BSDQ
  • Drftbydt
  • Drift
  • Fixed
  • GetItoProc
  • InitialValue
  • Introduce
  • ItoD
  • ItoExpand
  • ItoInit
  • ItoIntegral
  • ItoReset
  • Itosde
  • ItoStatus
  • RandomQ
FernandoDuarte`Itovsn3`
BSDQ
​
BSDQ[x]
gives
True
if
x
is a stochastic differential, and gives
False
otherwise.
​
​
BSDQ[x,sdl]
gives
True
if
x
is a stochastic differential excluding those in the list
sdl
, and gives
False
otherwise.
​
Examples  
(5)
Basic Examples  
(2)
In[1]:=
ItoReset
[t,dt];​​
BSDQ
[x]
Out[1]=
False
In[2]:=
BrownSingle
[B,0];​​
BSDQ
[dB]
Out[2]=
True
Note that
BSDQ
returns
False
for the semimartingale itself:
In[3]:=
BSDQ
[B]
Out[3]=
False
​
BSDQ
also works for differentials defined by
Itosde
:
In[1]:=
Itosde
[x,dxdt+dB,x0]​​
BSDQ
[x]​​
BSDQ
[dx]
Out[1]=
False
Out[1]=
True
Scope  
(1)

Properties & Relations  
(1)

Possible Issues  
(1)

SeeAlso
RandomQ
 
▪
ItoStatus
 
▪
GetItoProc
RelatedGuides
▪
Main
""

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