Stratonovich Integral

GPTKB entity

Statements (19)
Predicate Object
gptkbp:instanceOf stochastic integral
gptkbp:application stochastic differential equations
gptkbp:definedIn semimartingales
gptkbp:distinctFrom Itô integral uses non-anticipative integrands
Stratonovich integral is symmetric in time
gptkbp:hasProperty chain rule similar to classical calculus
https://www.w3.org/2000/01/rdf-schema#label Stratonovich Integral
gptkbp:introducedIn 1960s
gptkbp:namedAfter gptkb:Ruslan_Stratonovich
gptkbp:notation ∫ X ∘ dY
gptkbp:relatedTo gptkb:Itô_integral
gptkbp:usedFor Langevin equations
modeling systems with noise in physics
stochastic modeling in engineering
gptkbp:usedIn gptkb:stochastic_process
mathematical finance
physics
gptkbp:bfsParent gptkb:Stochastic_Integrals
gptkbp:bfsLayer 8