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Stochastic Integrals and Their Expectations
Wilfrid S. Kendall

This article explains how the Itovsn3 package can be extended to add various properties and rules for ItoIntegral, which represents a stochastic or Itô integral. This allows us to introduce a further expectation operator and compute suitable expectations involving Itô integrals.

*Notebook


*PDF


*HTML

*Introduction

*Simplification

*Expectation

*Conclusion

*Acknowledgments

*References

*Additional Material

About the Author
Wilfrid S. Kendall is a professor of statistics at the University of Warwick, with varied research interests primarily concerning the way computing and geometry influence probability and statistics.

Wilfrid S. Kendall
Department of Statistics
University of Warwick
Coventry CV4 7AL, UK
w.s.kendall@warwick.ac.uk www.warwick.ac.uk/go/wsk


     
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