Stochastic calculus in Mathematica
- To: mathgroup at smc.vnet.net
- Subject: [mg34363] Stochastic calculus in Mathematica
- From: Narve <narve at stud.iot.ntnu.no>
- Date: Fri, 17 May 2002 06:30:43 -0400 (EDT)
- Organization: Norwegian university of science and technology
- Sender: owner-wri-mathgroup at wolfram.com
Hi! I have two stochastic processes defined as dI = a*(mu1(t)-Ln(I))+sigma1*dZ1 dP=b*(mu2(t)-Ln(P))+sigma2*dZ2 where mu1(t) denotes a deterministic function of time, a and b are constants, sigma1 and sigma2 denotes two constant standard deviations and dZ1 and dZ2 are two brownian motions. Thus, I have two mean-reverting processes of the Ln-values of two variables. The problem is that I want to multiply the two processes (one is a volume process, the other a price process) and compute the stochastic derivative of the resulting expression. I got the ItosLemma notebook off the web, but cannot figure out how (if) this can be done. Anyone ? Cheers, Narve