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| In [[stochastic process]]es, the '''Stratonovich integral''' (developed simultaneously by [[Ruslan L. Stratonovich]] and D. L. Fisk) is a [[stochastic integral]], the most common alternative to the [[Itō calculus|Itō integral]]. Although the Ito integral is the usual choice in applied mathematics, the Stratonovich integral is frequently used in physics.
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| In some circumstances, integrals in the Stratonovich definition are easier to manipulate. Unlike the [[Ito Calculus|Itō calculus]], Stratonovich integrals are defined such that the [[chain rule]] of ordinary calculus holds.
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| Perhaps the most common situation in which these are encountered is as the solution to Stratonovich [[stochastic differential equation]]s (SDE). These are equivalent to Itō SDEs and it is possible to convert between the two whenever one definition is more convenient.
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| ==Definition==
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| The Stratonovich integral can be defined in a manner similar to the [[Riemann integral]], that is as a [[limit (mathematics)|limit]] of [[Riemann sum]]s. Suppose that <math>W : [0, T] \times \Omega \to \mathbb{R}</math> is a [[Wiener process]] and <math>X : [0, T] \times \Omega \to \mathbb{R}</math> is a [[semimartingale]] [[adapted process|adapted]] to the natural [[filtration (abstract algebra)|filtration]] of the Wiener process. Then the '''Stratonovich integral'''
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| :<math>\int_0^T X_{t} \circ \mathrm{d} W_t</math>
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| is a random variable <math>: \Omega \to \mathbb{R}</math> defined as the [[convergence in probability|limit in probability]] of
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| :<math>\sum_{i = 0}^{k - 1} {X_{t_{i+1}} + X_{t_i}\over 2} \left( W_{t_{i+1}} - W_{t_i} \right)</math>
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| as the [[Partition of an interval|mesh]] of the partition <math>0 = t_{0} < t_{1} < \dots < t_{k} = T</math> of <math>[0, T]</math> tends to 0 (in the style of a [[Riemann–Stieltjes integral]]).
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| ==Calculation==
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| Many integration techniques of ordinary calculus can be used for the Stratonovich integral, e.g.: if ''f'':'''R'''→'''R''' is a smooth function, then
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| :<math>\int_0^T f'(W_t) \circ \mathrm{d} W_t = f(W_T)-f(W_0)</math>
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| and more generally, if ''f'':'''R'''×'''R'''→'''R''' is a smooth function, then | |
| :<math>\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).</math>
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| This latter rule is akin to the chain rule of ordinary calculus.
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| ===Numerical methods===
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| Stochastic integrals can rarely be solved in analytic form, making [[Stochastic calculus|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 {{harv|Kloeden|Platen|1992}}.
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| Note however that the most widely used Euler scheme (the [[Euler–Maruyama method]]) for the numeric solution of
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| [[Langevin equation]]s requires the equation to be in Itō form.
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| ==Differential notation==
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| If ''X<sub>t</sub>'', ''Y<sub>t</sub>'' and ''Z<sub>t</sub>'' are stochastic processes such that
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| :<math>X_T-X_0=\int_0^T Y_{t} \circ \mathrm{d} W_t + \int_0^T Z_{t} \,\mathrm{d}t</math>
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| for all ''T''>0, we also write
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| :<math>\mathrm{d}X=Y\circ\mathrm{d}W + Z\,\mathrm{d}t.</math>
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| This notation is often used to formulate [[stochastic differential equation]]s (SDEs), which are really equations about stochastic integrals. It is compatible with the notation from ordinary calculus, for instance
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| :<math>\mathrm{d}(t^2\,W^3)=3 t^2 W^2\circ\mathrm{d}W + 2t W^3\,\mathrm{d}t.</math>
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| ==Comparison with the Itō integral==
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| {{main|Itō calculus}}
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| The [[Itō calculus|Itō integral]] of the process ''X'' with respect to the Wiener process ''W'' is denoted by
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| ::<math>\int_0^T X_{t} \,\mathrm{d} W_t</math>
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| (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 <math>X</math> at the left-hand endpoint of each subinterval, i.e.
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| :<math>X_{t_{i}}</math> in place of <math>(X_{t_{i+1}} + X_{t_{i}}) / 2.</math>
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| This integral does not obey the ordinary chain rule as the Stratonovcih integral does; instead one has to use the slightly more complicated [[Itō's lemma]].
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| Conversion between Itō and Stratonovich integrals may be performed using the formula
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| :<math>\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},</math> | |
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| where ƒ is any continuously differentiable function of two variables ''W'' and ''t'' and the last integral is an Itō integral {{harv|Kloeden|Platen|1992|p=101}}.
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| It follows that if ''X''<sub>''t''</sub> is a time-homogeneous Itō diffusion with continuously differentiable diffusion coefficient ''σ'' (i.e. it satisfies the [[Stochastic differential equation|SDE]] <math>\mathrm{d} X_t = \mu(X_t)\,\mathrm{d} t + \sigma(X_t)\,\mathrm{d} W_t</math> ), we have
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| :<math>\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}.</math>
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| More generally, for any two [[semimartingale]]s ''X'' and ''Y''
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| :<math>\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,</math>
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| where <math> [X,Y]_T^c</math> is the continuous part of the [[quadratic variation|covariation]].
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| ==Stratonovich integrals in applications==
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| The Stratonovich integral lacks the important property of the Itō integral, which does not "look into the future".
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| 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.
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| In physics, however, stochastic integrals occur as the solutions of [[Langevin equation]]s.
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| A Langevin equation is a coarse-grained version of a more microscopic model; depending on the problem in consideration,
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| Stratonovich or Itō interpretation or even more exotic interpretations such as the isothermal interpretation,
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| are appropriate. The Stratonovich interpretation is the most frequently used interpretation within the physical sciences.
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| 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
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| in the limit where τ tends to zero.
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| Because the Stratonovich calculus satisfies the ordinary chain rule, stochastic differential equations (SDEs) in the Stratonovich sense can be meaningfully defined on arbitrary [[differentiable manifold]]s, rather than just on '''R'''<sup>''n''</sup>. This is not possible in the Itō calculus, since here the choice of [[local coordinates|coordinate system]] would affect the SDE's solution.
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| ==References==
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| * {{cite book | author=Øksendal, Bernt K. | authorlink=Bernt Øksendal | title=Stochastic Differential Equations: An Introduction with Applications | publisher=Springer, Berlin | year=2003 | isbn=3-540-04758-1}}
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| * Gardiner, Crispin W. ''Handbook of Stochastic Methods'' Springer, (3rd ed.) ISBN 3-540-20882-8.
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| * 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.
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| * {{Cite book | last1=Kloeden | first1=Peter E. | last2=Platen | first2=Eckhard | title=Numerical solution of stochastic differential equations | publisher=[[Springer-Verlag]] | location=Berlin, New York | series=Applications of Mathematics | isbn=978-3-540-54062-5 | year=1992 | ref=harv | postscript=<!-- Bot inserted parameter. Either remove it; or change its value to "." for the cite to end in a ".", as necessary. -->[[Category:Articles with inconsistent citation formats]]}}.
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| {{DEFAULTSORT:Stratonovich Integral}}
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| [[Category:Definitions of mathematical integration]]
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| [[Category:Stochastic calculus]]
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