Table of Ito Integrals
Are there any tables with a collection of common Ito Integrals, their equivalent forms, etc. that anyone knows of?
Did a search but didn't come up with anything and was wondering if anyone knew of anything of the like...
Thanks.
stochastic-calculus stochastic-integrals
add a comment |
Are there any tables with a collection of common Ito Integrals, their equivalent forms, etc. that anyone knows of?
Did a search but didn't come up with anything and was wondering if anyone knew of anything of the like...
Thanks.
stochastic-calculus stochastic-integrals
I have Oksendahl and Klebaner and obviously they both have all of them spread throughout the book but neither has a quick reference table of common stochastic integrals. If you happen to know of where such a thing exists I'd be happy to get it. That's why I am asking.
– Dirk Calloway
Dec 6 '12 at 21:04
1
You should alsolook for symbolic packages for this! I think there is one for Maple.
– kjetil b halvorsen
Dec 7 '12 at 18:42
add a comment |
Are there any tables with a collection of common Ito Integrals, their equivalent forms, etc. that anyone knows of?
Did a search but didn't come up with anything and was wondering if anyone knew of anything of the like...
Thanks.
stochastic-calculus stochastic-integrals
Are there any tables with a collection of common Ito Integrals, their equivalent forms, etc. that anyone knows of?
Did a search but didn't come up with anything and was wondering if anyone knew of anything of the like...
Thanks.
stochastic-calculus stochastic-integrals
stochastic-calculus stochastic-integrals
asked Dec 6 '12 at 13:40
Dirk Calloway
1721111
1721111
I have Oksendahl and Klebaner and obviously they both have all of them spread throughout the book but neither has a quick reference table of common stochastic integrals. If you happen to know of where such a thing exists I'd be happy to get it. That's why I am asking.
– Dirk Calloway
Dec 6 '12 at 21:04
1
You should alsolook for symbolic packages for this! I think there is one for Maple.
– kjetil b halvorsen
Dec 7 '12 at 18:42
add a comment |
I have Oksendahl and Klebaner and obviously they both have all of them spread throughout the book but neither has a quick reference table of common stochastic integrals. If you happen to know of where such a thing exists I'd be happy to get it. That's why I am asking.
– Dirk Calloway
Dec 6 '12 at 21:04
1
You should alsolook for symbolic packages for this! I think there is one for Maple.
– kjetil b halvorsen
Dec 7 '12 at 18:42
I have Oksendahl and Klebaner and obviously they both have all of them spread throughout the book but neither has a quick reference table of common stochastic integrals. If you happen to know of where such a thing exists I'd be happy to get it. That's why I am asking.
– Dirk Calloway
Dec 6 '12 at 21:04
I have Oksendahl and Klebaner and obviously they both have all of them spread throughout the book but neither has a quick reference table of common stochastic integrals. If you happen to know of where such a thing exists I'd be happy to get it. That's why I am asking.
– Dirk Calloway
Dec 6 '12 at 21:04
1
1
You should alsolook for symbolic packages for this! I think there is one for Maple.
– kjetil b halvorsen
Dec 7 '12 at 18:42
You should alsolook for symbolic packages for this! I think there is one for Maple.
– kjetil b halvorsen
Dec 7 '12 at 18:42
add a comment |
2 Answers
2
active
oldest
votes
This actually isn't a bad start anyway if anyone is looking for the same...
Stochastic Calculus Cheat Sheet
add a comment |
$newcommand{d}{mathrm{d}}$Here is a short list of useful correspondences, especially for certain useful martingales such as $e^{B_t - tfrac{1}{2}t}$:
begin{array} {|r|r|}
hline
X_t & d X_t = u d t + v d B_t\ hline
B_t & d B_t\
B_t^2 & 2 B_t d B_t + d t\
B_t^2 - t & 2 B_t d B_t\
B_t^3 & 3 B_t^2 d B_t + 3 B_t d t\
e^{B_t} & e^{B_t}d B_t + tfrac{1}{2}e^{B_t}d t \
e^{B_t - tfrac{1}{2}t} & e^{B_t - tfrac{1}{2}t} d B_t\
e^{tfrac{1}{2}t}sin B_t & e^{tfrac{1}{2}t} cos B_t d B_t\
e^{tfrac{1}{2}t}cos B_t & -e^{tfrac{1}{2}t} sin B_t d B_t\
(B_t + t) e^{-B_t - tfrac{1}{2}t} & (1 - B_t - t) e^{-B_t - tfrac{1}{2}t} d B_t\hline
end{array}
All the above can be verified using Itô's formula and alongside the Itô isometry and integration by parts can be used to evaluate several stochastic integrals, their expectations and variances.
Here is a table of stochastic integrals...
begin{array} {|r|r|r|}
hline
text{Stochastic Integral} & text{Result} & text{Variance}\ hline
int_0^t d B_s & B_t & t \
int_0^t s d B_s & tB_t - int_0^t B_s d s & tfrac{1}{3}t^3 \
int_0^t B_s d B_s & tfrac{1}{2}B_t^2 - tfrac{1}{2}t & tfrac{1}{2}t^2\
int_0^t B_s^2 d B_s & tfrac{1}{3}B_t^3 - int_0^t B_s d s& 3t^2\
int_0^t e^{B_s - tfrac{1}{2}s}d B_s
& e^{B_t - tfrac{1}{2}t} - 1
& e^{t}-1\
hline
end{array}
add a comment |
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2 Answers
2
active
oldest
votes
2 Answers
2
active
oldest
votes
active
oldest
votes
active
oldest
votes
This actually isn't a bad start anyway if anyone is looking for the same...
Stochastic Calculus Cheat Sheet
add a comment |
This actually isn't a bad start anyway if anyone is looking for the same...
Stochastic Calculus Cheat Sheet
add a comment |
This actually isn't a bad start anyway if anyone is looking for the same...
Stochastic Calculus Cheat Sheet
This actually isn't a bad start anyway if anyone is looking for the same...
Stochastic Calculus Cheat Sheet
answered Dec 7 '12 at 18:14
Dirk Calloway
1721111
1721111
add a comment |
add a comment |
$newcommand{d}{mathrm{d}}$Here is a short list of useful correspondences, especially for certain useful martingales such as $e^{B_t - tfrac{1}{2}t}$:
begin{array} {|r|r|}
hline
X_t & d X_t = u d t + v d B_t\ hline
B_t & d B_t\
B_t^2 & 2 B_t d B_t + d t\
B_t^2 - t & 2 B_t d B_t\
B_t^3 & 3 B_t^2 d B_t + 3 B_t d t\
e^{B_t} & e^{B_t}d B_t + tfrac{1}{2}e^{B_t}d t \
e^{B_t - tfrac{1}{2}t} & e^{B_t - tfrac{1}{2}t} d B_t\
e^{tfrac{1}{2}t}sin B_t & e^{tfrac{1}{2}t} cos B_t d B_t\
e^{tfrac{1}{2}t}cos B_t & -e^{tfrac{1}{2}t} sin B_t d B_t\
(B_t + t) e^{-B_t - tfrac{1}{2}t} & (1 - B_t - t) e^{-B_t - tfrac{1}{2}t} d B_t\hline
end{array}
All the above can be verified using Itô's formula and alongside the Itô isometry and integration by parts can be used to evaluate several stochastic integrals, their expectations and variances.
Here is a table of stochastic integrals...
begin{array} {|r|r|r|}
hline
text{Stochastic Integral} & text{Result} & text{Variance}\ hline
int_0^t d B_s & B_t & t \
int_0^t s d B_s & tB_t - int_0^t B_s d s & tfrac{1}{3}t^3 \
int_0^t B_s d B_s & tfrac{1}{2}B_t^2 - tfrac{1}{2}t & tfrac{1}{2}t^2\
int_0^t B_s^2 d B_s & tfrac{1}{3}B_t^3 - int_0^t B_s d s& 3t^2\
int_0^t e^{B_s - tfrac{1}{2}s}d B_s
& e^{B_t - tfrac{1}{2}t} - 1
& e^{t}-1\
hline
end{array}
add a comment |
$newcommand{d}{mathrm{d}}$Here is a short list of useful correspondences, especially for certain useful martingales such as $e^{B_t - tfrac{1}{2}t}$:
begin{array} {|r|r|}
hline
X_t & d X_t = u d t + v d B_t\ hline
B_t & d B_t\
B_t^2 & 2 B_t d B_t + d t\
B_t^2 - t & 2 B_t d B_t\
B_t^3 & 3 B_t^2 d B_t + 3 B_t d t\
e^{B_t} & e^{B_t}d B_t + tfrac{1}{2}e^{B_t}d t \
e^{B_t - tfrac{1}{2}t} & e^{B_t - tfrac{1}{2}t} d B_t\
e^{tfrac{1}{2}t}sin B_t & e^{tfrac{1}{2}t} cos B_t d B_t\
e^{tfrac{1}{2}t}cos B_t & -e^{tfrac{1}{2}t} sin B_t d B_t\
(B_t + t) e^{-B_t - tfrac{1}{2}t} & (1 - B_t - t) e^{-B_t - tfrac{1}{2}t} d B_t\hline
end{array}
All the above can be verified using Itô's formula and alongside the Itô isometry and integration by parts can be used to evaluate several stochastic integrals, their expectations and variances.
Here is a table of stochastic integrals...
begin{array} {|r|r|r|}
hline
text{Stochastic Integral} & text{Result} & text{Variance}\ hline
int_0^t d B_s & B_t & t \
int_0^t s d B_s & tB_t - int_0^t B_s d s & tfrac{1}{3}t^3 \
int_0^t B_s d B_s & tfrac{1}{2}B_t^2 - tfrac{1}{2}t & tfrac{1}{2}t^2\
int_0^t B_s^2 d B_s & tfrac{1}{3}B_t^3 - int_0^t B_s d s& 3t^2\
int_0^t e^{B_s - tfrac{1}{2}s}d B_s
& e^{B_t - tfrac{1}{2}t} - 1
& e^{t}-1\
hline
end{array}
add a comment |
$newcommand{d}{mathrm{d}}$Here is a short list of useful correspondences, especially for certain useful martingales such as $e^{B_t - tfrac{1}{2}t}$:
begin{array} {|r|r|}
hline
X_t & d X_t = u d t + v d B_t\ hline
B_t & d B_t\
B_t^2 & 2 B_t d B_t + d t\
B_t^2 - t & 2 B_t d B_t\
B_t^3 & 3 B_t^2 d B_t + 3 B_t d t\
e^{B_t} & e^{B_t}d B_t + tfrac{1}{2}e^{B_t}d t \
e^{B_t - tfrac{1}{2}t} & e^{B_t - tfrac{1}{2}t} d B_t\
e^{tfrac{1}{2}t}sin B_t & e^{tfrac{1}{2}t} cos B_t d B_t\
e^{tfrac{1}{2}t}cos B_t & -e^{tfrac{1}{2}t} sin B_t d B_t\
(B_t + t) e^{-B_t - tfrac{1}{2}t} & (1 - B_t - t) e^{-B_t - tfrac{1}{2}t} d B_t\hline
end{array}
All the above can be verified using Itô's formula and alongside the Itô isometry and integration by parts can be used to evaluate several stochastic integrals, their expectations and variances.
Here is a table of stochastic integrals...
begin{array} {|r|r|r|}
hline
text{Stochastic Integral} & text{Result} & text{Variance}\ hline
int_0^t d B_s & B_t & t \
int_0^t s d B_s & tB_t - int_0^t B_s d s & tfrac{1}{3}t^3 \
int_0^t B_s d B_s & tfrac{1}{2}B_t^2 - tfrac{1}{2}t & tfrac{1}{2}t^2\
int_0^t B_s^2 d B_s & tfrac{1}{3}B_t^3 - int_0^t B_s d s& 3t^2\
int_0^t e^{B_s - tfrac{1}{2}s}d B_s
& e^{B_t - tfrac{1}{2}t} - 1
& e^{t}-1\
hline
end{array}
$newcommand{d}{mathrm{d}}$Here is a short list of useful correspondences, especially for certain useful martingales such as $e^{B_t - tfrac{1}{2}t}$:
begin{array} {|r|r|}
hline
X_t & d X_t = u d t + v d B_t\ hline
B_t & d B_t\
B_t^2 & 2 B_t d B_t + d t\
B_t^2 - t & 2 B_t d B_t\
B_t^3 & 3 B_t^2 d B_t + 3 B_t d t\
e^{B_t} & e^{B_t}d B_t + tfrac{1}{2}e^{B_t}d t \
e^{B_t - tfrac{1}{2}t} & e^{B_t - tfrac{1}{2}t} d B_t\
e^{tfrac{1}{2}t}sin B_t & e^{tfrac{1}{2}t} cos B_t d B_t\
e^{tfrac{1}{2}t}cos B_t & -e^{tfrac{1}{2}t} sin B_t d B_t\
(B_t + t) e^{-B_t - tfrac{1}{2}t} & (1 - B_t - t) e^{-B_t - tfrac{1}{2}t} d B_t\hline
end{array}
All the above can be verified using Itô's formula and alongside the Itô isometry and integration by parts can be used to evaluate several stochastic integrals, their expectations and variances.
Here is a table of stochastic integrals...
begin{array} {|r|r|r|}
hline
text{Stochastic Integral} & text{Result} & text{Variance}\ hline
int_0^t d B_s & B_t & t \
int_0^t s d B_s & tB_t - int_0^t B_s d s & tfrac{1}{3}t^3 \
int_0^t B_s d B_s & tfrac{1}{2}B_t^2 - tfrac{1}{2}t & tfrac{1}{2}t^2\
int_0^t B_s^2 d B_s & tfrac{1}{3}B_t^3 - int_0^t B_s d s& 3t^2\
int_0^t e^{B_s - tfrac{1}{2}s}d B_s
& e^{B_t - tfrac{1}{2}t} - 1
& e^{t}-1\
hline
end{array}
edited 9 hours ago
answered 2 days ago
Pantelis Sopasakis
2,007832
2,007832
add a comment |
add a comment |
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I have Oksendahl and Klebaner and obviously they both have all of them spread throughout the book but neither has a quick reference table of common stochastic integrals. If you happen to know of where such a thing exists I'd be happy to get it. That's why I am asking.
– Dirk Calloway
Dec 6 '12 at 21:04
1
You should alsolook for symbolic packages for this! I think there is one for Maple.
– kjetil b halvorsen
Dec 7 '12 at 18:42