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6.4 Taylor expansions

In the two time covariance function ([*]) there appears a Dirac-delta function. This is a consequence of the fact, that a stochastic process is a distribution rather than a simple function. Therefore, a random variable is not differentiable and we cannot use the standard Taylor expansions. Instead we must use integration expansions, which are given below for the Itô and Stratonovich interpretation.



Subsections

Werner Scholz 2000-05-16