Stratonovich integral

From Wikipedia, the free encyclopedia
  (Redirected from Stratonovich stochastic calculus)
Jump to: navigation, search

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

Perhaps the most common situation in which these are encountered is as the solution to Stratonovich stochastic differential equations (SDE). These are equivalent to Itō SDEs and it is possible to convert between the two whenever one definition is more convenient.

Definition[edit]

The Stratonovich integral can be defined in a manner similar to the Riemann integral, that is as a limit of Riemann sums. Suppose that W : [0, T] \times \Omega \to \mathbb{R} is a Wiener process and X : [0, T] \times \Omega \to \mathbb{R} is a semimartingale adapted to the natural filtration of the Wiener process. Then the Stratonovich integral

\int_0^T  X_{t} \circ \mathrm{d} W_t

is a random variable : \Omega \to \mathbb{R} defined as the limit in L^2 of

\sum_{i = 0}^{k - 1} X_{{t_{i+1}+t_i}\over 2} \left( W_{t_{i+1}} - W_{t_i} \right)

as the mesh of the partition 0 = t_{0} < t_{1} < \dots < t_{k} = T of [0, T] tends to 0 (in the style of a Riemann–Stieltjes integral).

Calculation[edit]

Many integration techniques of ordinary calculus can be used for the Stratonovich integral, e.g.: if f:RR is a smooth function, then

\int_0^T  f'(W_t) \circ \mathrm{d} W_t = f(W_T)-f(W_0)

and more generally, if f:R×RR is a smooth function, then

\int_0^T  {\partial f\over\partial W}(W_t,t) \circ \mathrm{d} W_t + \int_0^T  {\partial f\over\partial t}(W_t,t)\, \mathrm{d}t = f(W_T,T)-f(W_0,0).

This latter rule is akin to the chain rule of ordinary calculus.

Numerical methods[edit]

Stochastic integrals can rarely be solved in analytic form, making stochastic numerical integration an important topic in all uses of stochastic integrals. Various numerical approximations converge to the Stratonovich integral, and variations of these are used to solve Stratonovich SDEs (Kloeden & Platen 1992). Note however that the most widely used Euler scheme (the Euler–Maruyama method) for the numeric solution of Langevin equations requires the equation to be in Itō form.

Differential notation[edit]

If Xt, Yt and Zt are stochastic processes such that

X_T-X_0=\int_0^T  Y_{t} \circ \mathrm{d} W_t + \int_0^T  Z_{t} \,\mathrm{d}t

for all T>0, we also write

\mathrm{d}X=Y\circ\mathrm{d}W + Z\,\mathrm{d}t.

This notation is often used to formulate stochastic differential equations (SDEs), which are really equations about stochastic integrals. It is compatible with the notation from ordinary calculus, for instance

\mathrm{d}(t^2\,W^3)=3 t^2 W^2\circ\mathrm{d}W + 2t W^3\,\mathrm{d}t.

Comparison with the Itō integral[edit]

Main article: Itō calculus

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

\int_0^T  X_{t} \,\mathrm{d} W_t

(without the circle). For its definition, the same procedure is used as above in the definition of the Stratonovich integral, except for choosing the value of the process X at the left-hand endpoint of each subinterval, i.e.

X_{t_{i}} in place of X_{(t_{i+1}+ t_{i})/ 2}

This integral does not obey the ordinary chain rule as the Stratonovich integral does; instead one has to use the slightly more complicated Itō's lemma.

Conversion between Itō and Stratonovich integrals may be performed using the formula

\int_{0}^{T} f(W_{t},t) \circ \mathrm{d} W_{t} = \frac{1}{2} \int_{0}^{T} {\partial f\over\partial W}(W_{t},t)  \, \mathrm{d} t + \int_{0}^{T} f(W_{t},t) \, \mathrm{d} W_{t},

where ƒ is any continuously differentiable function of two variables W and t and the last integral is an Itō integral (Kloeden & Platen 1992, p. 101).

It follows that if Xt is a time-homogeneous Itō diffusion with continuously differentiable diffusion coefficient σ (i.e. it satisfies the SDE \mathrm{d} X_t = \mu(X_t)\,\mathrm{d} t + \sigma(X_t)\,\mathrm{d} W_t ), we have

\int_{0}^{T} \sigma (X_{t}) \circ \mathrm{d} W_{t} = \frac{1}{2} \int_{0}^{T} \sigma'(X_{t}) \sigma(X_{t})  \, \mathrm{d} t + \int_{0}^{T} \sigma (X_{t}) \, \mathrm{d} W_{t}.

More generally, for any two semimartingales X and Y

\int_{0}^{T} X_{s-} \circ \mathrm{d} Y_s = \int_0^T X_{s-}\,\mathrm{d}Y_s+ \frac{1}{2} [X,Y]_T^c,

where  [X,Y]_T^c is the continuous part of the covariation.

Stratonovich integrals in applications[edit]

The Stratonovich integral lacks the important property of the Itō integral, which does not "look into the future". In many real-world applications, such as modelling stock prices, one only has information about past events, and hence the Itō interpretation is more natural. In financial mathematics the Itō interpretation is usually used.

In physics, however, stochastic integrals occur as the solutions of Langevin equations. A Langevin equation is a coarse-grained version of a more microscopic model; depending on the problem in consideration, Stratonovich or Itō interpretation or even more exotic interpretations such as the isothermal interpretation, are appropriate. The Stratonovich interpretation is the most frequently used interpretation within the physical sciences.

The Wong-Zakai theorem states that physical systems with non-white noise spectrum characterized by a finite noise correlation time τ can be approximated by a Langevin equations with white noise in Stratonovich interpretation in the limit where τ tends to zero.

Because the Stratonovich calculus satisfies the ordinary chain rule, stochastic differential equations (SDEs) in the Stratonovich sense can be meaningfully defined on arbitrary differentiable manifolds, rather than just on Rn. This is not possible in the Itō calculus, since here the choice of coordinate system would affect the SDE's solution.

References[edit]

  • Øksendal, Bernt K. (2003). Stochastic Differential Equations: An Introduction with Applications. Springer, Berlin. ISBN 3-540-04758-1. 
  • Gardiner, Crispin W. Handbook of Stochastic Methods Springer, (3rd ed.) ISBN 3-540-20882-8.
  • Jarrow, Robert and Protter, Philip, "A short history of stochastic integration and mathematical finance: The early years, 1880–1970," IMS Lecture Notes Monograph, vol. 45 (2004), pages 1–17.
  • Kloeden, Peter E.; Platen, Eckhard (1992). Numerical solution of stochastic differential equations. Applications of Mathematics. Berlin, New York: Springer-Verlag. ISBN 978-3-540-54062-5. .