An elementary approach to Stochastic Differential Equations using the infinitesimals

zbMATH Open1232.03060MaRDI QIDQ2998342FDOQ2998342

Authors Vieri Benci, Stefano Galatolo, Marco Ghimenti

Publication date 18 May 2011

Full work available at URL https://arxiv.org/abs/0807.3477

zbMATH Keywords

Fokker-Planck equationstochastic differential equationsnonstandard analysisprocesses involving white noisestochastic grid equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Fokker-Planck equations (35Q84) Nonstandard analysis (26E35) Other applications of nonstandard models (economics, physics, etc.) (03H10)

Abstract: The aim of this paper is to evidence two points relative to Nonstandard analysis (NSA): 1. In most applications of NSA to analysis, only elementary facts and techniques of nonstandard calculus seems to be necessary. 2. The advantages of a theory which includes infinitesimals rely more on the possibility of making new models rather than in the proving techniques. These two points will be illustrated in the theory of Brownian motion which can be considered as a classical model to test the power of the infinitesimal approach. Starting from a naive idea of Brownian motion, we deduce the Fokker-Plank equation in a simple and rigorous way. It is possible to keep every things to a simple level since all the theory of stochastic differential equations is treated as a hyperfinite theory and it is not translated in a "standard model". The only standard object is the final one: the Fokker-Plank equation.

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