Wolfram Language Paclet Repository
Community-contributed installable additions to the Wolfram Language
FernandoDuarte`Itovsn3`
ItoIntegral  |
| ItoIntegral sd sd | |
Details and Options
Examples
(4)
Basic Examples
(1)
Initialize:
In[1]:=
 | ItoReset |
Out[1]//TableForm=
Itovsn3 resetting ... |
Itovsn3 initialized |
with time semimartingale t |
and time differential dt |
Introduce two independent Brownian motions:
In[2]:=
| BrownBasis |
The simplest view of the Ito integral is that it is the right-inverse of the stochastic differential:
In[3]:=
 | ItoD |
 | ItoIntegral |
Out[3]=
True
ItoIntegral
In[4]:=
| ItoIntegral |
Out[4]=
-1+X
Scope
(1)
Generalizations & Extensions
(1)
Neat Examples
(1)
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