User talk:Feagurth

Stratonovich integral
Hello, and welcome here. I saw your edit to our article on the Stratonovich integral. I am afraid that I reverted your edit. I checked it in the book by Kloeden and Platen, and they say that the function is arbitrary and that there shouldn't be an extra factor in the Ito integral. Perhaps the name &sigma; is a bit confusing (I didn't write that bit), so I changed it. However, I should say that I'm not an expert on stochastic calculus, so there may be a subtlety that I'm missing. Cheers, Jitse Niesen (talk) 10:58, 24 October 2008 (UTC)

I was too fast. In the formula from Kloeden and Platen, the process is not an arbitrary process but the Wiener process. I thus put your formula back in. If you have time, can you please check that it's correct now? It would also be very helpful if you could add a reference. Thanks, Jitse Niesen (talk) 11:10, 24 October 2008 (UTC)