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Itovsn3
Guides
Main
Tech Notes
Bessel
BlackScholes
ItoArea
MardiaDryden
Reflect
Stochastic Integration
Symbols
AddDrift
AddFixed
AddQuadVar
Brktbydt
BrownBasis
BrownSingle
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Drftbydt
Drift
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GetItoProc
InitialValue
Introduce
ItoD
ItoExpand
ItoInit
ItoIntegral
ItoReset
Itosde
ItoStatus
RandomQ
FernandoDuarte`Itovsn3`
I
t
o
D
I
t
o
D
[
f
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c
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p
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p
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e
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s
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f
.
Examples
(
3
)
Basic Examples
(
1
)
Initialize:
I
n
[
1
]
:
=
I
t
o
R
e
s
e
t
[
t
,
d
t
]
O
u
t
[
1
]
/
/
T
a
b
l
e
F
o
r
m
=
I
t
o
v
s
n
3
r
e
s
e
t
t
i
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g
.
.
.
I
t
o
v
s
n
3
i
n
i
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i
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d
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e
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i
m
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g
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l
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t
a
n
d
t
i
m
e
d
i
f
f
e
r
e
n
t
i
a
l
d
t
Introduce two independent Brownian motions:
I
n
[
2
]
:
=
B
r
o
w
n
B
a
s
i
s
[
{
X
,
Y
}
,
{
1
,
0
}
]
Use
I
t
o
D
to compute the stochastic differential of a semimartingale expression:
I
n
[
3
]
:
=
I
t
o
D
[
2
X
]
O
u
t
[
3
]
=
d
t
+
2
d
X
X
S
c
o
p
e
(
1
)
P
o
s
s
i
b
l
e
I
s
s
u
e
s
(
1
)
S
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e
A
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▪
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