scientific article; zbMATH DE number 1483980
This paper represents an introduction to the study of the Itô-type calculus. It gives an initial information about the general theory of stochastic differential equations. The basic theory of stochastic Itô integrals is given in Section 1. This section starts with the definition of the Itô-type stochastic integrals, followed by some important properties of this integral and the stochastic indefinite integral. Later on the stochastic differential is given and the differential formula known as Itô's formula. In Section 2 the basic theory of Itô-type stochastic differential equation is established, followed by the theorem of existence and uniqueness of a solution. The Markov property and the continuous dependence on the parameter of solutions are considered. Some examples illustrate the theoretical considerations. The author restricts herself to the one-dimensional case for simplicity in notation, but in some cases she gives a hint at the extension to the multidimensional case. The references contain a list of about 50 important books and papers dealing with this subject. For the entire collection see [Zbl 0892.00018].
- Introduction to stochastic analysis. Integrals and differential equations
- scientific article; zbMATH DE number 3178064
- scientific article; zbMATH DE number 47980
- Introduction to stochastic partial differential equations
- scientific article; zbMATH DE number 3984248
- Itô type measure-valued stochastic differential equations
- Stochastic partial differential equations: an introduction
- scientific article; zbMATH DE number 45955
- Stochastic partial differential equations. An introduction
- scientific article; zbMATH DE number 4140949
This page was built for publication:
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4493089)
