In
stochastic process
In probability theory and related fields, a stochastic () or random process is a mathematical object usually defined as a family of random variables. Stochastic processes are widely used as mathematical models of systems and phenomena that ap ...
es, the Stratonovich integral (developed simultaneously by
Ruslan Stratonovich and
Donald Fisk) is a
stochastic integral, the most common alternative to the
Itô integral. Although the Itô integral is the usual choice in applied mathematics, the Stratonovich integral is frequently used in physics.
In some circumstances, integrals in the Stratonovich definition are easier to manipulate. Unlike the
Itô calculus, Stratonovich integrals are defined such that the
chain rule
In calculus, the chain rule is a formula that expresses the derivative of the composition of two differentiable functions and in terms of the derivatives of and . More precisely, if h=f\circ g is the function such that h(x)=f(g(x)) for every , ...
of ordinary calculus holds.
Perhaps the most common situation in which these are encountered is as the solution to Stratonovich
stochastic differential equation
A stochastic differential equation (SDE) is a differential equation in which one or more of the terms is a stochastic process, resulting in a solution which is also a stochastic process. SDEs are used to model various phenomena such as stock p ...
s (SDEs). These are equivalent to Itô SDEs and it is possible to convert between the two whenever one definition is more convenient.
Definition
The Stratonovich integral can be defined in a manner similar to the
Riemann integral
In the branch of mathematics known as real analysis, the Riemann integral, created by Bernhard Riemann, was the first rigorous definition of the integral of a function on an interval. It was presented to the faculty at the University of G� ...
, that is as a
limit
Limit or Limits may refer to:
Arts and media
* ''Limit'' (manga), a manga by Keiko Suenobu
* ''Limit'' (film), a South Korean film
* Limit (music), a way to characterize harmony
* "Limit" (song), a 2016 single by Luna Sea
* "Limits", a 2019 ...
of
Riemann sums. Suppose that
is a
Wiener process
In mathematics, the Wiener process is a real-valued continuous-time stochastic process named in honor of American mathematician Norbert Wiener for his investigations on the mathematical properties of the one-dimensional Brownian motion. It is ...
and
is a
semimartingale adapted to the natural
filtration
Filtration is a physical separation process that separates solid matter and fluid from a mixture using a ''filter medium'' that has a complex structure through which only the fluid can pass. Solid particles that cannot pass through the filter ...
of the Wiener process. Then the Stratonovich integral
:
is a random variable
defined as the
limit in mean square of
:
as the
mesh
A mesh is a barrier made of connected strands of metal, fiber, or other flexible or ductile materials. A mesh is similar to a web or a net in that it has many attached or woven strands.
Types
* A plastic mesh may be extruded, oriented, exp ...
of the partition
of