Itô stochastic differential equation
GPTKB entity
Statements (23)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
gptkb:mathematical_concept
|
| gptkbp:application |
gptkb:Black-Scholes_model
option pricing population dynamics filtering theory |
| gptkbp:describes |
evolution of random processes
|
| gptkbp:field |
gptkb:stochastic_process
|
| gptkbp:firstPublished |
1940s
|
| gptkbp:formedBy |
gptkb:Kiyoshi_Itô
|
| gptkbp:generalizes |
ordinary differential equation
|
| https://www.w3.org/2000/01/rdf-schema#label |
Itô stochastic differential equation
|
| gptkbp:includes |
gptkb:Wiener_process
Brownian motion |
| gptkbp:namedAfter |
gptkb:Kiyoshi_Itô
|
| gptkbp:notation |
dX_t = μ(X_t, t)dt + σ(X_t, t)dW_t
|
| gptkbp:relatedTo |
Stratonovich stochastic differential equation
|
| gptkbp:solvedBy |
gptkb:Itô_calculus
gptkb:Itô_integral |
| gptkbp:usedIn |
engineering
mathematical finance physics |
| gptkbp:bfsParent |
gptkb:Lévy-driven_stochastic_differential_equation
|
| gptkbp:bfsLayer |
6
|