A Causal Construction of Diffusion Processes
Abstract
A simple nonlinear integral equation for Ito's map is obtained. Although, it does not include stochastic integrals, it does give causal construction of diffusion processes which can be easily implemented by iteration systems. Applications in financial modelling and extension to fBm are discussed.
0
Turn this paper into a lesson
ArcXiv compiles a structured reading guide from this paper's metadata: plain-English importance, contributions, prerequisite concepts, which sections to read first, flashcards, and a quiz. Grounded in the abstract, never invented.