Stochastic Integrals and Their Expectations -- from Wolfram Library Archive

Title

Stochastic Integrals and Their Expectations

Author

Wilfrid S. Kendall

Journal / Anthology

The Mathematica Journal

Year:

2005

Volume:

Issue:

Page range:

757-767

Description

This article explains how the Itovsn3 package can be extended to add various properties and rules for ItoIntegral, which represents a stochastic or Itô integral. This allows us to introduce a further expectation operator and compute suitable expectations involving Itô integrals.

Subjects

	Mathematics > Calculus and Analysis > Calculus
	Mathematics > Calculus and Analysis > Special Functions

URL

http://www.mathematica-journal.com/issue/v9i4/StochasticIntegrals.html

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