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Stochastic integrals and their expectations
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Kendall, W. S. (2005) Stochastic integrals and their expectations. The Mathematica Journal, Vol.9 (No.4). ISSN 1097-1610.
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Official URL: http://www.mathematica-journal.com/issue/v9i4/Stoc...
Abstract
This article explains how the Itovsn3 package can be extended to add
various properties and rules for ItoIntegral, which represents a stochastic
or Itô integral. This allows us to introduce a further expectation operator
and compute suitable expectations involving Itô integrals.
Item Type: | Journal Article | ||||
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Subjects: | Q Science > QA Mathematics | ||||
Divisions: | Faculty of Science, Engineering and Medicine > Science > Statistics | ||||
Library of Congress Subject Headings (LCSH): | Stochastic integrals -- Computer programs, Mathematica (Computer file) | ||||
Journal or Publication Title: | The Mathematica Journal | ||||
Publisher: | Wolfram Research, Inc. | ||||
ISSN: | 1097-1610 | ||||
Official Date: | 2005 | ||||
Dates: |
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Volume: | Vol.9 | ||||
Number: | No.4 | ||||
Status: | Peer Reviewed | ||||
Access rights to Published version: | Open Access (Creative Commons) | ||||
Date of first compliant deposit: | 1 August 2016 | ||||
Date of first compliant Open Access: | 1 August 2016 | ||||
Funder: | Engineering and Physical Sciences Research Council (EPSRC) | ||||
Grant number: | GR/M75785 (EPSRC) |
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