Image:Ito Integral BdB.png

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[edit] Summary

Description

A plot of a sample path of a Wiener process, or Brownian motion, B, together with its Itō integral with respect to itself. Integration by parts or Itō's lemma shows that the integral is equal to (B2 - t)/2.
Source

self-made
Date

2008-04-22
Author

Roboquant
Permission
(Reusing this image)

see below

[edit] Licensing

I, the copyright holder of this work, hereby publish it under the following licenses:
GNU head Permission is granted to copy, distribute and/or modify this document under the terms of the GNU Free Documentation license, Version 1.2 or any later version published by the Free Software Foundation; with no Invariant Sections, no Front-Cover Texts, and no Back-Cover Texts. A copy of the license is included in the section entitled "GNU Free Documentation license".

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Creative Commons Attribution icon		 This file is licensed under the Creative Commons Attribution 3.0 Unported License. In short: you are free to distribute and modify the file as long as you attribute its author(s) or licensor(s). Official license

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File history

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Date/TimeDimensionsUserComment
current23:25, 22 April 2008684×502 (61 KB)Roboquant ({{Information |Description=A plot of a sample path of a Wiener process, or Brownian motion, ''B'', together with its Itō integral with respect to itself. Integration by parts or Itō's lemma shows that the integral is equal to (''B''[sup]2[/sup]-''t'')/2)
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