Itô calculus for the rest of us

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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

  4. admin says:

    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]

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