2015-08-15から1日間の記事一覧

伊藤積分と利子の計算式

最近伊藤の定理と確率的の微分積分に関して悩んでいます。The solution to the stochastic differential equation for the Vasicek interest rate process, although it apparently conforms to Ito's Lemma, seems arbitrary. Basically, given dr=a(b-r)dt…