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author | Prefetch | 2022-10-27 20:40:09 +0200 |
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committer | Prefetch | 2022-10-27 20:40:09 +0200 |
commit | 6e70f28ccbd5afc1506f71f013278a9d157ef03a (patch) | |
tree | a8ca7113917f3e0040d6e5b446e4e41291fd9d3a /source/know/concept/ito-process | |
parent | bcae81336764eb6c4cdf0f91e2fe632b625dd8b2 (diff) |
Optimize last images, add proof template, improve CSS
Diffstat (limited to 'source/know/concept/ito-process')
-rw-r--r-- | source/know/concept/ito-process/index.md | 34 |
1 files changed, 13 insertions, 21 deletions
diff --git a/source/know/concept/ito-process/index.md b/source/know/concept/ito-process/index.md index f192e28..2756e33 100644 --- a/source/know/concept/ito-process/index.md +++ b/source/know/concept/ito-process/index.md @@ -61,6 +61,7 @@ since only the current value of $$X_t$$ determines the future, and $$B_t$$ is also a Markov process. + ## Itō's lemma Classically, given $$y \equiv h(x(t), t)$$, @@ -83,11 +84,8 @@ $$\begin{aligned} } \end{aligned}$$ -<div class="accordion"> -<input type="checkbox" id="proof-lemma"/> -<label for="proof-lemma">Proof</label> -<div class="hidden" markdown="1"> -<label for="proof-lemma">Proof.</label> + +{% include proof/start.html id="proof-lemma" -%} We start by applying the classical chain rule, but we go to second order in $$x$$. This is also valid classically, @@ -133,14 +131,15 @@ $$\begin{aligned} Where $$\chi_1^2(\dd{t})$$ is the generalized chi-squared distribution with one term of variance $$\dd{t}$$. -</div> -</div> +{% include proof/end.html id="proof-lemma" %} + The most important application of Itō's lemma is to perform coordinate transformations, to make the solution of a given Itō SDE easier. + ## Coordinate transformations The simplest coordinate transformation is a scaling of the time axis. @@ -208,6 +207,7 @@ $$\begin{aligned} \end{aligned}$$ + ## Existence and uniqueness It is worth knowing under what condition a solution to a given SDE exists, @@ -232,11 +232,8 @@ $$\begin{aligned} } \end{aligned}$$ -<div class="accordion"> -<input type="checkbox" id="proof-existence"/> -<label for="proof-existence">Proof</label> -<div class="hidden" markdown="1"> -<label for="proof-existence">Proof.</label> + +{% include proof/start.html id="proof-existence" -%} If we define $$Y_t \equiv X_t^2$$, then Itō's lemma tells us that the following holds: @@ -275,9 +272,8 @@ $$\begin{aligned} \\ &\le (Y_0 + 3 K t) \exp\!\big(3 K t\big) \end{aligned}$$ +{% include proof/end.html id="proof-existence" %} -</div> -</div> If a solution exists, it is also worth knowing whether it is unique. Suppose that $$f$$ and $$g$$ satisfy the following inequalities, @@ -301,11 +297,8 @@ $$\begin{aligned} } \end{aligned}$$ -<div class="accordion"> -<input type="checkbox" id="proof-uniqueness"/> -<label for="proof-uniqueness">Proof</label> -<div class="hidden" markdown="1"> -<label for="proof-uniqueness">Proof.</label> + +{% include proof/start.html id="proof-uniqueness" -%} We define $$D_t \equiv X_t \!-\! Y_t$$ and $$Z_t \equiv D_t^2 \ge 0$$, together with $$F_t \equiv f(X_t) \!-\! f(Y_t)$$ and $$G_t \equiv g(X_t) \!-\! g(Y_t)$$, such that Itō's lemma states: @@ -347,9 +340,8 @@ $$\begin{aligned} \\ &\le Z_0 \exp\!\Big( \big( 2 K \!+\! K^2 \big) t \Big) \end{aligned}$$ +{% include proof/end.html id="proof-uniqueness" %} -</div> -</div> Using these properties, it can then be shown that if all of the above conditions are satisfied, |