The intrinsic "sense" of stochastic differential equations
Mathematical Physics
2017-04-18 v4 math.MP
Abstract
A free choice of the integration sense would lead to the paradox that the number of possible equations (thus of solutions for a given model) can vary under a mere change of the variables. This is shown by a specific change which neutralizes the sense (by establishing a constant coupling with the noise). Its inverse singles out the Stratonovich sense, by means of the Ito formula.
Keywords
Cite
@article{arxiv.1605.02897,
title = {The intrinsic "sense" of stochastic differential equations},
author = {Dietrich Ryter},
journal= {arXiv preprint arXiv:1605.02897},
year = {2017}
}
Comments
Version with minor extensions