0
votes
0answers
216 views

probability distribution for several variables

The Fokker-Planck equation for several variables is : $\frac{\partial W}{\partial t} = L_{FP}W$ where $L_{FP} = -\frac{\partial}{\partial x_i}D_i(\{x\})+\frac{\partial^2}{\partial x_i \partial ...
9
votes
2answers
2k views

Convergence and non-convergence of left-point and mid-point Riemann sums

In standard calculus it is a well known fact that left-point and mid-point Riemann sums do become equal in the limit. When it comes to stochastic integration this is no longer the case. Taking the ...