Itô’s Formula and Stochastic Differential Equations

Mircea Grigoriu
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Mircea Grigoriu: Cornell University School of Civil and Environmental Engineering

Chapter Chapter 4 in Stochastic Calculus, 2002, pp 205-285 from Springer

Abstract: Abstract The probabilistic concepts reviewed in the previous chapters are applied to develop one of the most useful tools for the solution of stochastic problems, the Itô calculus.

Keywords: Brownian Motion; Stochastic Differential Equation; Sample Path; Quadratic Variation; Stochastic Integral (search for similar items in EconPapers)
Date: 2002
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DOI: 10.1007/978-0-8176-8228-6_4

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