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Results tagged with stochastic-calculus
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user 12090
Stochastic calculus provides a consistent theory of integration for stochastic processes and is used to model random systems. Its applications range from statistical physics to quantitative finance.
4
votes
1
answer
400
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Homogeneous linear stochastic DE with noncommuting coefficients
The system I am studying can be reduced to a Stratonovich vector
stochastic differential equation
$dX = A X \; dt + \sum B_k X \circ dW_k$
with $W_k$, $k=1..m$ the Brownian motion in $m$ dimensions, …
- 545
4
votes
Units in Ornstein-Uhlenbeck(OU) process
Say $X$ is a displacement and is measured in meters. Then $a$ indeed has units $1/s$ and $b$ has units $m/\sqrt{s}$; $dt$ as usual has units $s$ and $dW$ has units $1/\sqrt{s}$.
This can be verified …
- 81