| It积分和Stratonovich积分的比较 |
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| 引用本文： | 王伟. It积分和Stratonovich积分的比较[J]. 杭州应用工程技术学院学报, 2012, 0(4): 273-277 |
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| 作者姓名： | 王伟 |
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| 作者单位： | 浙江科技学院理学院,杭州310023 |
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| 摘 要： | 引入了It积分和Stratonovich积分的定义,介绍了计算It积分的It公式,并讨论了It积分和Stratonovich积分之间的关联公式。通过实例,运用这两种积分分别求解随机微分方程,并将结果进行了对比。最后,对它们在不同的实际应用中各自具有的优、缺点进行了讨论。
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| 关 键 词： | It积分 Stratonovich积分 It公式 随机微分方程 |
Comparison of Ito and Stratonovich integrals |
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| WANG Wei. Comparison of Ito and Stratonovich integrals[J]. Journal of Hangzhou Institute of Applied Engineering, 2012, 0(4): 273-277 |
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| Authors: | WANG Wei |
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| Affiliation: | WANG Wei (School of Sciences, Zhejiang University of Science and Technology, Hangzhou 310023, China) |
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| Abstract: | We introduce the definitions of the Ito integral and the Stratonovich integral and present the Ito formula used to calculate the Ito integral. Also, the equation, which represents the relationship between the Ito integral and the Stratonovich integral, is derived. Through examples, we solve the stochastic differential equations by applying the two kinds of integrals respectively and compare the solutions obtained from the two different methods. At the end, we investigate the advantages and disadvangtages of these two kinds of integrals in different practical applications. |
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| Keywords: | Ito integral Stratonovich integral Ito formula stochastic differential equation |
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