Partial and full solutions of stochastic differential equations

arXiv1405.3066MaRDI QIDQ6251498FDOQ6251498

Publication date: 13 May 2014

Abstract: Only the "anti-Ito" integral yields the correct shift of the mean, by the fact that the elements of its Riemannian sum hold in the order O(dt) rather than only in O(sqrt dt). The corresponding "full" Fokker-Planck equation is particularly simple and the only one applying for Brownian motion with an arbitrary friction law. The "full" backward equation coincides with it in the noise contribution.

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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