A formal approach to stochastic integration and differential equations

Abstract

Stochastic integrals are defined using a differential rule and the fundamental theorem of calculus. It is shown that such integrals lead to the solution of stochastic differential equations driven by a single Wiener process or square integral sample path continuous martingale

^†This resarch supported in part by the National Science Foundation Under grant MC 575-05248 A01

^†This resarch supported in part by the National Science Foundation Under grant MC 575-05248 A01

Notes

^†This resarch supported in part by the National Science Foundation Under grant MC 575-05248 A01