Equations Differentielles Stochastiques au Sens de Stratonovitch et de Ito (Stochastic Differential Equations in the Sense of Stratonovitch and of Ito),
Abstract
The definition and main properties of the stochastics integrals are examined. The differences between the solutions proposed by K. Ito and R. L. Stratonovitch are exposed. The question of the representation of diffusion processes by stochastic differential equations is examined in view of definition of a non-linear state variable representation of diffusion processes. (Author)
Document Details
- Document Type
- Technical Report
- Publication Date
- Nov 01, 1970
- Accession Number
- AD0721498
Entities
People
- F. Levieux
Organizations
- Mines ParisTech