Intrinsic stochastic differential equations as jets

Coordinate-free Stochastic Differential Equations as Jets

We explain how Itô Stochastic Differential Equations on manifolds may be defined as 2-jets of curves. We use jets as a natural language to express geometric properties of SDEs and show how jets can lead to intuitive representations of Itô SDEs, including three different types of drawings. We explain that the mainstream choice of Fisk-StratonovichMcShane calculus for stochastic differential geom...

Stochastic differential equations and integrating factor

The aim of this paper is the analytical solutions the family of rst-order nonlinear stochastic differentialequations. We dene an integrating factor for the large class of special nonlinear stochasticdierential equations. With multiply both sides with the integrating factor, we introduce a deterministicdierential equation. The results showed the accuracy of the present work.

Simulating Stochastic Differential Equations

Let S t be the time t price of a particular stock. We know that if S t ∼ GBM (µ, σ 2), then S t = S 0 e (µ−σ 2 /2)t+σBt (1) where B t is the Brownian motion driving the stock price. An alternative possibility is to use a stochastic differential equation (SDE) to describe the evolution of S t. In this case we would write S t = S 0 + t 0 µS u du + t 0 σS u dB u (2) or in shorthand , dS t = µS t d...

. Stochastic Differential Equations

Stochastic Partial Differential Equations