The intrinsic "sense" of stochastic differential equations

15 Apr 2017  ·  Ryter Dietrich ·

A free choice of the integration sense would lead to the paradox that the number of possible equations (thus of solutions for a given model) can vary under a mere change of the variables. This is shown by a specific change which neutralizes the sense (by establishing a constant coupling with the noise)... Its inverse singles out the Stratonovich sense, by means of the Ito formula. read more

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Mathematical Physics Mathematical Physics