Itôův a Stratonovičův stochastický integrál
In this thesis the Ito stochastic integral and the Stratonovich stochastic integrals are studied. Their basic and some special properties are shown. Further the theory of the numerical solution of stochastic differential equations (SDE) is introduced. Using simple examples the properties of chosen n...
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| Format: | Dissertation |
| Language: | English |
| Published: |
2009
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| Online Access: | http://www.nusl.cz/ntk/nusl-295492 |