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Ito, stratonovich and kinetic forms of stochastic equations

✍ Scribed by Yu.L. Klimontovich


Book ID
103893863
Publisher
Elsevier Science
Year
1990
Tongue
English
Weight
835 KB
Volume
163
Category
Article
ISSN
0378-4371

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πŸ“œ SIMILAR VOLUMES


Stratonovich and Ito Stochastic Taylor E
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The Stratonovich stochastic Taylor formula for diffusion processes is stated and proved, It has a simpler structure and is a more natural generalization of the deterministic Taylor formula than the Ito stochastic Taylor formula.

The ItΓ΄ and Stratonovich integrals for s
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The relationship between the It6 and the Stratonovich integrals used for solving stochastic differential equations with Gaussian white noise is well known. However, this relationship seems to be less clear when dealing with stochastic differential equations driven by Poisson white noise. It is shown