Wolfram Language Paclet Repository
Community-contributed installable additions to the Wolfram Language
FernandoDuarte`Itovsn3`
ItoExpand |
| ItoExpand sd sd | |
Examples
(1)
Basic Examples
(1)
Delete any existing definitions and initialize:
In[1]:=
 | ItoReset |
Out[1]//TableForm=
Itovsn3 resetting ... |
Itovsn3 initialized |
with time semimartingale t |
and time differential dt |
Introduce a Brownian motion:
In[2]:=
| BrownSingle |
Out[2]=
0
In[3]:=
| Itosde |
In[4]:=
| Itosde |
Ito differentials do not automatically expand:
In[5]:=
2
dX
Out[5]=
2
dX
In[6]:=
dXdY
Out[6]=
dXdY
Expand them:
In[7]:=
| ItoExpand |
2
dX
Out[7]=
dt
In[8]:=
| ItoExpand |
2
dY
Out[8]=
dt
2
X
 |
|
 |
|
""