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 Author Comment/Response Milan 06/15/13 10:36am While looking in the help manual of Mathematica concerning the ItoProcess function I found the following: ItoProcess[{a,b,c},x,t]: represents an Ito Process y(t)=c(t,x(t)), where dx(t)=a(t,x(t))dt+b(t,x(t)).dw(t) In order to replicate and Plot this, I entered the following code: (*Defining a process y(t)=c((xt)), where \[DifferentialD]x(t)=\[Mu]\ \[DifferentialD]t+\[Sigma]\[DifferentialD]w(t)*) ItoProcess[\[DifferentialD]x[ t] == \[Mu] \[DifferentialD]t + \[Sigma] \[DifferentialD]w[t], c[x[t]], {x, 0}, t, w \[Distributed] WienerProcess[]] Then I wanted to Plot one process by implementing drift and volatility. (*Simulation of one Ito Process with \[Mu]=0.1 and \[Sigma]=0.2, \ starting value x=0*) testprocess5 = ItoProcess[\[DifferentialD]x[t] == 0.1 *\[DifferentialD]t + 0.2 *\[DifferentialD]w[t], c[x[t]], {x, 0}, t, w \[Distributed] WienerProcess[]] Concerning this code I got the same output like in the Mathematica help manual just the drift and the volatility were substituted by 0.1 and 0.2 respectively. However, when I tried to plot the process it did not work out. ListLinePlot[ Table[RandomFunction[ testprocess5, {0 (*startis from t=0*), 5 (*ends at t=5*), 0.01 (*\[CapitalDelta]t*)}] ["Path"], {1(*number of paths*)}], Joined -> True, AxesLabel -> {"time", "value"}, ImageSize -> 400, PlotRange -> All] I am not sure, why it is not workling, maybe it could be due to y (t) = c ((xt)). Does anyone of you have a solution for this problem or a suggestion how to change the code? thanks URL: ,

 Subject (listing for 'ItoProcess function') Author Date Posted ItoProcess function Milan 06/15/13 10:36am Re: ItoProcess function Bill Simpson 06/20/13 02:41am
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