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Results tagged with stochastic-calculus
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user 147607
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.
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Martingale polynomial functions
If $B_t$ is a Brownian motion then using Hermite polynomials one can find that
$$1, B_t, B_t^2-t, B_t^3 - 3tB_t,...$$
are martingales.
If $X_t$ is a diffusion
$dX_t = \mu(X_t,t)dt + \sigma(X_t,t) …
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