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Cou urse: Integrall Equations (Math-418) o h Top pic: Straton S novich Integral n structor r: Ins
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Dis iscipline e:
Contents
1. Stratonovich Integral a) Introduction b) Definition 2. Comparison with the It integral 3. Usages of the Stratonovich Integral a) Numerical Methods b) Stratonovich Integrals in Real-World Applications 4. References
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1. Stratonovich Integral
a) Introduction In stochastic processes, the Stratonovich integral is a stochastic integral equation, the most common alternative to the It integral. Although the It integral is the usual choice in applied mathematics, the Stratonovich integral is frequently used in physics. In some circumstances, integrals in the Stratonovich definition are easier to manipulate. Unlike the It calculus, Stratonovich integrals are defined such that the chain rule of ordinary calculus holds. Perhaps the most common situation in which these are encountered is as the solution to Stratonovich stochastic differential equations (SDE). These are equivalent to It SDEs and it is possible to convert between the two whenever one definition is more convenient. b) Definition The Stratonovich integral can be defined in a manner similar to the Riemann integral, that is as a limit of Riemann sums. Suppose that W :[0, T ] is a Wiener process and
X :[0, T ] is a semimartingale adapted to the natural filtration of the Wiener process. Then the Stratonovich integral
T
X
0
dWt :
[( X
i =0
k 1
ti +1
+ X ti ) / 2](Wti+1 Wti )
as the mesh of the partition 0 = t0 < t1 < ... < tk = T of [0,T] tends to 0 (in the style of a RiemannStieltjes integral).
Conversion between It and Stratonovich integrals may be performed using the formula
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where is a continuously differentiable function and the last integral is an It integral. It follows that if Xt is a time-homogeneous It diffusion with continuously differentiable diffusion coefficient i.e. it satisfies the SDE dX t = ( X t )dt + ( X t )dWt We have
T
1 c X s dYs = X s dYs + 2 [ X , Y ]T 0 0
stochastic process does not satisfy the criteria for convergence in the Riemann sense. If it did, then the It and Stratonovich definitions would converge to the same solution. As it is, for integrals with respect to Wiener processes, they are distinct.
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4. References
1) Qysendal, Bernt K. (2003). Stochastic Differential Equations: An Introduction with Applications. Springer, Berlin, ISBN 3-540-04758-1 2) Gardiner, Crispin W. Handbook of Stochastic Methods Springer, (3rd ed.) ISBN 3-540-208828 3) Jarrow, Robert and Protter, Philip, "A short history of stochastic integration and mathematical finance: The early years, 18801970," IMS Lecture Notes Monograph, vol. 45 (2004) 4) Kloeden, Peter E.; Platen, Eckhard (1992), Numerical solution of stochastic differential equations. Applications of Mathematics, Berlin, New York: SpringerVerlag. ISBN 978-3-540-54062-5
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