Wolfram Language Paclet Repository
Community-contributed installable additions to the Wolfram Language
FernandoDuarte`Itovsn3`
Introduce  |
| Introduce Smgl dSmgl | |
Examples
(3)
Basic Examples
(1)
Initialize:
In[1]:=
 | ItoReset |
Out[1]//TableForm=
Itovsn3 resetting ... |
Itovsn3 initialized |
with time semimartingale t |
and time differential dt |
Introduce a new semimartingale and its stochastic differential:
In[2]:=
| Introduce |
Out[2]=
{dX,dt}
Examine the second-order structure, noting the use of placeholders , , and where structure has not yet been defined:
dtBrktbydt[dX,dX]
dtDrftbydt[dX]
Fixed[0,X]
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: | |||||||||
|
Make the semimartingale a one-dimensional Brownian motion by specifying its quadratic variation and drift:
In[4]:=
| AddQuadVar |
2
dX
Out[4]=
1
In[5]:=
| AddDrift |
Out[5]=
0
Examine the new structure:
In[6]:=
| ItoStatus |
Out[6]=
Summary of current structure of stochastic differentials | |||||||||
Current second-order structure of semimartingale differentials: | |||||||||
| |||||||||
Current first-order structure of semimartingale differentials: | |||||||||
| |||||||||
Current initial values: | |||||||||
|
Scope
(1)
Possible Issues
(1)
 |
|
 |
|
""