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[¸Ðл½±ÉÍ] ¹ØÓÚ²âÎÛȾÎïͨÁ¿µÄ ¡°integral method¡± ·½·¨ ? ÇëÎÊÊǹØÓÚÎÛË®µÄÎÄÕÂÂð? ÎÊÌâÊǹØÓÚ Ito ºÍ Stratonovich »ý·Ö·¨Âð? [ͼ1] https://www.math.human.nagoya-u.ac.jp/preprint/2004-2/2004-2.pdf Ito ÊÇ Stratonovich »ý·Ö·¨µÄÒ»ÖÖ Ito ºÍ Stratonovich »ý·ÖÊÇ stochastic integrals, ºÍÒ»°ã Riemann sum integrals ²»Í¬ [ͼ2] https://people.cs.kuleuven.be/~g ... scale-lecture-6.pdf ÒÔÉÏÁ´½ÓÊÇÎÒ¿ÉÕÒµ½×î¼ò½àµÄÓйØ×ܽá,ÈçÏÓ²»¹»,¿É¿´ - Stochastic Integral ¶¨Òå [ͼ3] - Stratonovich ºÍ Ito »ý·ÖµÄ¸üÏêÏ¸Çø±ð [ͼ4] ¼ÓÌá 2 ƪӦÓÃÎÄÕ https://www.caam.rice.edu/~cox/stoch/dhigham.pdf https://www.math.kth.se/~szepessy/sdepde.pdf --------------------------------- ÎÛË®ÔÎÄ.jpg Stratonovich ºÍ Ito = Á½ÖÖ Stochastic Integral.jpg Stochastic Integral ¶¨Òå.jpg Stratonovich ºÍ Ito - ¸üÏêÏ¸Çø±ð.jpg |
4Â¥2014-07-15 03:07:27
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2Â¥2014-07-14 17:08:39
3Â¥2014-07-14 20:46:10
mac194
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½¨ÒéÏÈ¿´ÄÇÁ½ 2 ƪӦÓÃÎÄÕÂÀïµÄ³ÌÐò´úÂë,È»ºóÔÙ¿¼ÂÇÊÇ·ñ;񻄤 integral method ϸ½Ú: https://www.math.kth.se/na/DN2281/stodiff14/Lecture_2.pdf https://www.math.kth.se/~szepessy/sdepde.pdf |
5Â¥2014-07-15 03:31:42














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