Titlebook: Stochastic Differential Equations; An Introduction with Bernt Øksendal Textbook 19923rd edition Springer-Verlag Berlin Heidelberg 1992 Brow

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Stochastic Integrals and the Ito Formula,Example 3.6 illustrates that the basic definition of Ito integrals is not very useful when we try to evaluate a given integral. This is similar to the situation for ordinary Riemann integrals, where we do not use the basic definition but rather the fundamental theorem of calculus plus the chain rule in the explicit calculations.

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Ito Integrals,in equations of the form . where . and . are some given functions. Let us first concentrate on the case when the noise is 1-dimensional. It is reasonable to look for some stochastic process .. to represent the noise term, so that ..

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Diffusions: Basic Properties,elocity of the fluid at the point . at time ., then a reasonable mathematical model for the position .. of the particle at time . would be a stochastic differential equation of the form . where .. ∈ .. denotes “white noise” and . ∈ ... The Ito interpretation of this equation is . where .. is 3-dimen

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Application to Stochastic Control, integral, under suitable assumptions on 6 and . At the moment we will not specify the conditions on . and . further, but simply assume that the process .. satisfying (11.1) exists. See further comments on this in the end of this chapter.

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The Filtering Problem, of ... Similarly to the 1-dimensional situation (3.20) there is an explicit several-dimensional formula which expresses the . interpretation of (6.1): . in terms of Ito integrals as follows: . (See Stratonovich (1966)). From now on we will use the Ito interpretation (6.2).