Wolfram Language Paclet Repository
Community-contributed installable additions to the Wolfram Language
FernandoDuarte`Itovsn3`
BrownSingle  |
| BrownSingle X X 0 X dX X 0 | |
Examples
(1)
Basic Examples
(1)
Initialize:
In[1]:=
 | ItoReset |
Out[1]//TableForm=
Itovsn3 resetting ... |
Itovsn3 initialized |
with time semimartingale t |
and time differential dt |
Introduce a single Brownian motion with value of 0 at the initial time:
In[2]:=
| BrownSingle |
Out[2]=
0
Inspect structure of new Brownian motion:
In[3]:=
| ItoStatus |
Out[3]=
Summary of current structure of stochastic differentials | |||||||||
Current second-order structure of semimartingale differentials: | |||||||||
| |||||||||
Current first-order structure of semimartingale differentials: | |||||||||
| |||||||||
Current initial values: | |||||||||
|
The Brownian motion has zero drift, quadratic variation and zero as its initial value:
dt
In[4]:=
| Drift |
Out[4]=
0
In[5]:=
| ItoExpand |
2
dB
Out[5]=
dt
In[6]:=
| InitialValue |
Out[6]=
0
 |
|
 |
|
""