Ito calculus
imported>Pythagoras0님의 2016년 5월 20일 (금) 00:09 판
introduction
- start with Brownian motion
- http://www.mathematica-journal.com/issue/v9i4/contents/StochasticIntegrals/StochasticIntegrals_1.html
- http://www-stat.wharton.upenn.edu/~steele/Publications/PDF/AoMtSC.pdf
- http://mathematica.stackexchange.com/questions/30558/solving-a-stochastic-differential-equation?rq=1
- http://mathematica.stackexchange.com/questions/83645/martingale-pricing-simulation-random-walk-stock-price
example
- Loewner equantion