X-Nico

Stratonovich integral

Unlike the Itō calculus, Stratonovich integrals are defined such that the chain rule of ordinary calculus holds.

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In stochastic processes, the Stratonovich integral (developed simultaneously by Ruslan L. Stratonovich and D. L. Fisk) is a stochastic integral, the most common alternative to the Itō integral.

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The Itō integral of the process X with respect to the Wiener process W is denoted by

see also