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
|