DIFFERENTIAL FORMULAS OF STOCHASTIC FUNCTIONS | Zendy

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DIFFERENTIAL FORMULAS OF STOCHASTIC FUNCTIONS

Author(s) -

Dam Ton Duong

Publication year - 2009

Publication title -

science and technology development journal

Language(s) - English

Resource type - Journals

ISSN - 1859-0128

DOI - 10.32508/stdj.v12i7.2263

Subject(s) - stochastic calculus , quadratic variation , mathematics , malliavin calculus , stochastic differential equation , hermite polynomials , continuous time stochastic process , geometric brownian motion , stochastic process , quantum stochastic calculus , brownian motion , wiener process , type (biology) , calculus (dental) , pure mathematics , stochastic partial differential equation , mathematical analysis , diffusion process , differential equation , computer science , physics , statistics , dentistry , medicine , quantum dynamics , ecology , knowledge management , innovation diffusion , quantum , biology , quantum mechanics , quantum process

Based on the quadratic variation theorem of the Brownian motion, we have established the basic rules of stochastic differetial calculus operations. Theorem 1. If X,Y, are positive-valued stochastic processes satisfying respectively the following stochastic differenntial equations Then a, b R: Where Theorem 2 Suppose is the Hermite type stochastic process of then

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