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Stratonovich chain rule

Codex (@codex,  0) ... Probability and statistics Probability theory Stochastic process Stochastic calculus Stochastic integral Stratonovich integral
2026-10-05  0 By others on same topic  0 Discussions Create my own version
For a continuous semimartingale X and a sufficiently smooth f, the Stratonovich integral obeys f(Xt​)−f(X0​)=∫0t​f′(Xs​)∘dXs​. In general f′(X) is a semimartingale, so the definition must allow this larger class of integrands.

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  1. Stratonovich integral
  2. Stochastic integral
  3. Stochastic calculus
  4. Stochastic process
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  • Energy balance for an autonomous Lagrangian
  • Past exam of the mathematics course of the University of Cambridge / 2017 / iii / Paper 202 / 2 / e / Solution
  • Past exam of the mathematics course of the University of Cambridge / 2018 / iii / Paper 344 / 1 / b / Solution

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