MathGroup Archive 2002

[Date Index] [Thread Index] [Author Index]

Search the Archive

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



  • Prev by Date: Re: Does Mathematica calculate really so long?
  • Next by Date: Re: Does Mathematica calculate really so long?
  • Previous by thread: Re: silly newbie questions
  • Next by thread: Re: Stochastic calculus in Mathematica