Ito differential
2015-04-15 7:44 pm
Compute differential of X^2, where X is some stochastic process and the distribution of X is not given.
回答 (3)
2015-04-17 12:24 am
✔ 最佳答案
哈哈哈，你終於都學到 Ito's lemma 啦～好野！
2015-04-15 23:38:09 補充：
Please read:
https://s.yimg.com/rk/HA00430218/o/1853025057.png
2015-04-16 16:24:25 補充：
Please read:
圖片參考：https://s.yimg.com/rk/HA00430218/o/1853025057.png
2015-04-16 9:23 pm
Tsun Wai, it's not regular calculus. It's stochastic calculus.
知足常樂, wow! bravo! thank you! I wonder are you a professor in advanced prob? By the way, I am unable to give you points if you post the answer on the opinion section.
2015-04-16 13:32:47 補充：
I was stuck in the dXdX term. Now I get it. It's just the differential of the quadratic variation of Ito process. Thanks again.
知足常樂, wow! bravo! thank you! I wonder are you a professor in advanced prob? By the way, I am unable to give you points if you post the answer on the opinion section.
2015-04-16 13:32:47 補充：
I was stuck in the dXdX term. Now I get it. It's just the differential of the quadratic variation of Ito process. Thanks again.
2015-04-16 3:03 am
X^2
d(X^2)=2X
??
d(X^2)=2X
??
收錄日期: 2021-04-15 19:05:36
原文連結 [永久失效]:
https://hk.answers.yahoo.com/question/index?qid=20150415000051KK00023