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Results tagged with stochastic-calculus
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user 150679
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.
2
votes
1
answer
178
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What's the role of commutation relations in stochastic mechanics?
In a stochastic context, we can understand a term like
$$ \int_0^T \frac{d q(t)}{dt} dq $$
either as the (Ito) limit
$$ \lim_{N\to\infty} \sum_{i}^N dq(t_i) \frac{d q(t_i)}{dt} $$
or the (Anti …
- 281
16
votes
2
answers
990
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Why do stochastic integrals depend on the choice of partitioning points?
When we integrate a function, we must make some choice about how we approximate it before we take the limit.
In principle, we can choose $\tau_i$ to be any value between $t_{i-1}$ and $t_i$. But fo …
- 281