随机积分与Riemann-Stieltjes积分的区别与联系及其微分法则  

The Relations and Differences between Stochastic and Riemann-Stieltjes Integral and the Differential Rules

作　　者：王丙参[1] 魏艳华[1] 戴宁[2] 

机构地区：[1]天水师范学院数学与统计学院,甘肃天水741001 [2]郑州大学数学系,河南郑州450002

出　　处：《宁夏师范学院学报》2014年第6期37-43,共7页Journal of Ningxia Normal University

基　　金：国家自然科学研究基金(61104045)

摘　　要：系统研究了R-S积分与随机积分的区别和联系,重点探讨了Ito公式及其作用,Ito微分的本质在于dw(t)=dt,故在进行泰勒展开时需展开到第二项,而常微分只需展开到第一项,最后,利用Ito公式给出常见Ito微分法则.In this paper,we have systematically investigated the relations and differences for Riemann-Stiehjes and stochastic integral, focusing on the role of the Ito formula and its applications. The nature of Ito differential is dW（t） = √dt. Thus, it needs to expand the second term in the Taylor expansion, while ordinary differentialonly needs to expand the first item, ho differential rule is given by using Ito formula.

关 键 词：R-S积分 分割 Ito积分 微分法则 

分 类 号：O213[理学—概率论与数理统计]