# Tagged Questions

Questions about stochastic calculus in Mathematica, for example how to use ItoProcess and RandomFunction.

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### ItoProcess function

While looking in the help manual of Mathematica concerning the ItoProcess function I found the following: ItoProcess[{a,b,c},x,t]: represents an Ito Process y(t)=c(t,x(t)), where dx(t)=a(t,x(t))dt+b(...
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### Boundary condition for stochastic differential equation

I have a simple stochastic differential equation (SDE) with white noise: ...
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### Monte Carlo simulation using geometric Brownian motion

I'm relatively new to Mathematica programming, so forgive my rather unsophisticated question: I'm trying to do a Monte Carlo simulation using geometric Brownian motion (GBM). I want to write a ...
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### Share experiences, preferably the surprising ones, with using ItoProcess

Can people please share their experiences, preferably the surprising ones, with using ItoProcess? I am a big fan of ItoProcess and have already used it for several finance-related tasks, though I ...
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### Use of Ito's lemma in ItosLemma.m (or any other method in Mathematica)

This is a follow-up question on this question: Use of Ito's lemma in ItoProcess My problem is to find some method how to use Ito's lemma in Mathematica. As an example: How can I apply Ito's ...
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### Use of Ito's lemma in ItoProcess

In the documentation for the ItoProcess it says: Converting an ItoProcess to standard form automatically makes use of Ito'...
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### Random Variable in Recurrence Function

Following the previously published question, I'm looking for the solution of RecurrenceTable with explicit random variable. For example, something like ...