Correction of the Fokker-Planck equation, and the adequate sense of stochastic integration
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Publication:6245437
arXiv1310.2043MaRDI QIDQ6245437FDOQ6245437
Authors: Dietrich Ryter 
Publication date: 8 October 2013
Abstract: The Fokker-Planck equation needs to be modified when the diffusion parameters are not constant, in order to match it with the backward equation. It even becomes simpler, and the integration of the underlying stochastic differential equation must obey the "anti-Ito" sense (with the latest evaluation point).
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