Ito versus Stratonovich: Stochastic Integration

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  • čas přidán 2. 12. 2018
  • Explain the differences between the Ito and Stratonovich definitions of stochastic integral using brownian motion as an example.

Komentáře • 9

  • @sundarj8174
    @sundarj8174 Před 4 lety +8

    This channel is gold

  • @4lvar0u2b
    @4lvar0u2b Před 3 lety +5

    it is an outstanding work here! thank you for your dedication

  • @user-po3hg3qh2x
    @user-po3hg3qh2x Před 4 lety +3

    The explanation is very good, thanks for sharing!

  • @NathanCrock
    @NathanCrock Před 4 lety +2

    Thanks again. I noticed a typo that you may address in the future. At @5:37 when showing the final formulas for the left, right, and midpoint rules - in the bottom right of the screen, the subscripts on B are missing the t for the RHS of the first two if-clauses.

    • @quantpie
      @quantpie  Před 4 lety +1

      thanks @Nathan Crock!! great spot!

  • @eammonhart8338
    @eammonhart8338 Před 3 lety

    You say that the Stratonovich integral is anticipatory, but I thought a process being non-anticipatory would be basically the same thing as same that it F_t adapted (i.e. can't see past t), but both of these integrals are adapted. Am I misunderstanding something?
    Thanks for a great series.

    • @rajinfootonchuriquen
      @rajinfootonchuriquen Před měsícem

      Ito is left continuos, meaning you can only approach from the left, in time perspective, from the past.