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Topic:
Help! with stochastic processes
Replies:
1
Last Post:
Jul 17, 1996 10:12 PM




Help! with stochastic processes
Posted:
Jul 15, 1996 4:23 PM


I'm trying to learn a bit of stochastic calculus; can anyone recommend a good introductory textbook? I've got a lot of background in regular calculus, and a reasonable amount in statistics (though nothing formally).
Also, I'm trying to figure out a particular stochastic process. The process is
dx = (a + b x) dt + c x dz
where dz is a Weiner process (dz = Epsilson Sqrt[dt], where Epsilon is sampled from a distribution with mean zero and variance 1).
I know how to integrate a simpler stochastic process like
dx = a + b dz
by adding independent increments to build a distribution, but I can't figure out how to do it with the first example.
Any help would be appreciated; thanks in advance.
Mark Higgins  Queen's University Astrophysics mark@astro.queensu.ca  Kingston, Ontario, Canada http://astro.queensu.ca/~mark 
"If it's not true, it's well told." Old Italian proverb



