Stochastic integrals and their expectations

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Kendall, W. S. (2005)
  • Publisher: Wolfram Research, Inc.
  • Subject: QA

This article explains how the Itovsn3 package can be extended to add\ud various properties and rules for ItoIntegral, which represents a stochastic\ud or Itô integral. This allows us to introduce a further expectation operator\ud and compute suitable expectations involving Itô integrals.
  • References (8)

    In[12]:= ItoIntegralRewriteRuleset Module a, b, c, d, conv, l1, l2 , SetAttributes a, b, c, d, conv , Constant ; conv Map # Condition Pattern #, Blank a, b, c, d ; l1 t, ta , B, Bb , t B, t Bb , ta B, ta Bb ; l2 t, tc , B, Bd , t B, t Bd , tc B, tc Bd ; Map # 1 . conv # 2 &, Flatten

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