Itô calculus for the rest of us

6 Responses

1. Minos Niu says:

Great post. My research is using SDE to explain brain functions. We model the brain activity as a diffusion process across the neuronal network. I’ve been looking for tutorials to link Fokker-Planck equations together with Ito’s intergral. This post just does that. Thanks!

2. Riz says:

I am grad student of maths & currently I am studying Ito, the article written is so easy to understand as mostly books use alien language

3. Jean-Francois Bido says:

Great post! I am currently working on building a Libor Market Model and this post helped me having a more intuitive understanding of Itô’s lemma.
NB: I think there are small typos in both Fokker-Planck equations

Thanks! Could you send me the typos?

5. Jean-Francois Bido says:

Imho it should be

\frac{dP}{dt}=\frac{a^2}{2}\frac{d^2P}{dx^2}

and

\frac{\partial P}{\partial t}= – \frac{\partial}{\partial x}\left[f(x,t)P(x,t)\right] + \frac{1}{2}\frac{\partial^2}{\partial x^2}\left[g^2(x,t)P(x,t)\right]

1. April 6, 2014