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

 Messages: [ Previous | Next ]
 Mark Higgins Posts: 9 Registered: 12/8/04
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
http://astro.queensu.ca/~mark |

"If it's not true, it's well told."
-Old Italian proverb

Date Subject Author
7/15/96 Mark Higgins
7/17/96 David L. Reiner