b***k
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jejune (孑孓) 于 (Mon Oct 20 04:02:45 2008) 提到:
微分方程
dx/x=a*dy/y+dw(t)
a是常数，x,y是随机过程，w(t)是weiner process.
它的积分形式是什么？就是说
dln(x)=a*dln(y)+ ?
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JackSheng (重新振作) 于 (Mon Oct 20 13:39:29 2008) 提到:
I thought dln(x) =\= dx/x, if x is a stochastic process, actually dx/x = dln
(x) + (dx)^2/(2 x^2)
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jejune (孑孓) 于 (Wed Oct 22 02:08:10 2008) 提到:
you are right. otherwise it won't b |
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