The Math Forum



Search All of the Math Forum:

Views expressed in these public forums are not endorsed by NCTM or The Math Forum.


Math Forum » Discussions » sci.math.* » sci.stat.math

Notice: We are no longer accepting new posts, but the forums will continue to be readable.

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

Advanced Search

Back to Topic List Back to Topic List Jump to Tree View Jump to Tree View   Messages: [ Previous | Next ]
Mark Higgins

Posts: 9
Registered: 12/8/04
Help! with stochastic processes
Posted: Jul 15, 1996 4:23 PM
  Click to see the message monospaced in plain text Plain Text   Click to reply to this topic Reply

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





Point your RSS reader here for a feed of the latest messages in this topic.

[Privacy Policy] [Terms of Use]

© The Math Forum at NCTM 1994-2018. All Rights Reserved.