An algorithm is derived for solving a large class of Ito random integral equations. The derivation of the algorithm involves approximate discretization of the given Ito equation. The Ito integrals arising out of discretization are expressed as functions of normal random variables. The algorithm gives a sample pathwise solution and is readily implementable on a digital computer.
No takes yet. Share an insight, caveat, or question.
Rao et al. (1974) studied this question.
Synapse has enriched 5 related papers. Consider them for comparative context: