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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

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 …
demonc's user avatar
  • 81
4 votes
1 answer
400 views

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, …
demonc's user avatar
  • 81