Construct · 1 fields · 1 citations

Stratonovich integral: a standalone construct

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Probability theory

stochastic integral defined with midpoint evaluation so that the ordinary chain rule of calculus holds, often preferred for physical noise models.

In probability theory, Stratonovich integral refers to stochastic integral defined with midpoint evaluation so that the ordinary chain rule of calculus holds, often preferred for physical noise models. This meaning comes from Stratonovich (1966) in SIAM Journal on Control.[1]

Unit
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Nearby constructs

chain3 fields · 3 citationsjingle · one word, three constructs control4 fields · 5 citationsjingle · one word, four constructs integral3 fields · 4 citationsjingle · one word, three constructs

References

Stratonovich, R. L. (1966). A New Representation for Stochastic Integrals and Equations. SIAM Journal on Control, 4(2), 362-371. https://doi.org/10.1137/0304028

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