Tag: Fokker-Planck rss


12 February 2009 / / Science
One of the areas of my research is stochastic differential equations (SDE). I posted about it several times before. One of the things students and collaborators keep asking me about SDEs is the weird stochastic Itô Calculus. Itô Calculus is different from what you learn in 101 calculus. In particular, the chain rule is not longer valid. Let me explain it with an example. Suppose you have the following equation