stochastic integral

Also found in: Wikipedia

0.01 sec.

stochastic integral [stō′kas·tik ′int·ə·grəl]

(mathematics)

An integral used to construct the sample functions of a general diffusion process from those of a Wiener process; it has the formwhere {W_t,t≥ 0} is a Wiener process,dW_trepresents the random disturbances occurring in an infinitesimal time intervaldt, anda_tis independent of future disturbances. Also known as Itô's integral.

Want to thank TFD for its existence? Tell a friend about us, add a link to this page, add the site to iGoogle, or visit the webmaster's page for free fun content.

?Page tools

Printer friendly
Cite / link

Feedback

Mentioned in	?		References in periodicals archive	?		Encyclopedia browser	?		Full browser	?
No references found			After a description of the Poisson process and related processes with independent increments, as well as a brief look at Markov processes with a finite number of jumps, the book introduces Brownian motion and develops stochastic integrals and Ito's theory in the context of one-dimensional diffusion processes. Stochastic processes by SciTech Book News Some classes of multivariate infinitely divisible distributions admitting stochastic integral representations. The life and work of Olof Thorin (1912-2004)/Olof Thorini elu ja too by Bondesson, Lennart; Grandell, Jan; Peetre, Jaak / Proceedings of the Estonian Academy of Sciences 2, the other conditions are needed to ensure that some of the stochastic integrals that appear in the proof are martingales. On moment conditions for the Girsanov Theorem by Lee, See Keong / Advances in Theoretical and Applied Mathematics			Stivic, Michael "Meathead" Stix, Thomas H. Stjepan Filipovic Stjepan Radic Stjernstedt, Marika STK STL STM STMP STN STN LCD stoa stoat stob Stobaeus, Joannes Stobbe reaction stochastic Stochastic Approximation stochastic automaton stochastic calculus stochastic chain rule stochastic control theory stochastic cooling stochastic differential stochastic independence stochastic integral stochastic matrix Stochastic Process Stochastic Process, Extrapolation of a stochastic sequential machine stochastic variable Stock stock accounting stock brick stock brush stock car stock control stock coordination Stock Dove stock exchange stock in trade Stock List stock lock stock lumber Stock Market Crash of 1929 stock millwork stock number stock option stock rail stock record account stock size			Stochastic Dynamic General Equilibrium Stochastic effects Stochastic effects Stochastic effects Stochastic Fair Blue Stochastic Fair Queuing Stochastic Fair Sharing Algorithm Stochastic False Sharing Stochastic Fictitious Play Stochastic Finite Element Analysis Stochastic Finite Element Method Stochastic Frontier Analysis Stochastic Frontier Production Function Stochastic Functional-Differential Equation Stochastic gene expression Stochastic gene expression Stochastic gene expression Stochastic Gradient Stochastic Gradient Boosting Tree Stochastic Gradient Lattice Stochastic Gradient Least Mean Square Stochastic Gradient with Partial Despreading Stochastic Gravitational Wave Background Stochastic Green Function Stochastic Human Exposure and Dose Simulation Stochastic Hybrid Systems Stochastic independence Stochastic Information Packet stochastic integral Stochastic Inventory Control Stochastic language Stochastic Library Unit with Relationships Preserved Stochastic Linear Quadratic Stochastic Many-sorted Tree Automata Stochastic matrix Stochastic matrix stochastic model stochastic model stochastic model stochastic model stochastic model Stochastic modeling Stochastic Modeling and Analysis of Communication Systems Stochastic modelling Stochastic Modelling of Complex Systems Stochastic models Stochastic Multicriteria Acceptability Analysis Stochastic Neural Computing/Computation Stochastic Noise Generation and Radiation Stochastic Noise Reaction Stochastic Optimization in Policy Space Stochastic Optimization Modeling Stochastic oscillator Stochastic Oscillators Stochastic partial differential equation Stochastic Petri Net Stochastic Petri Net Package Stochastic Petri-net graph

Encyclopedia

Free Tools:	For surfers: Free toolbar & extensions \| Word of the Day \| Help For webmasters: Free content \| Linking \| Lookup box \| Double-click lookup

Disclaimer
All content on this website, including dictionary, thesaurus, literature, geography, and other reference data is for informational purposes only. This information should not be considered complete, up to date, and is not intended to be used in place of a visit, consultation, or advice of a legal, medical, or any other professional.