Source of Randomness And Ito SDE
考虑如下常微分方程
{
d
X
(
t
)
=
a
(
t
,
X
(
t
)
)
d
t
X
(
0
)
=
x
0
\begin{cases} dX(t)=a(t, X(t))dt\\ X(0)=x_0 \end{cases}
{dX(t)=a(t,X(t))dtX(0)=x0
随机性来源分析
(1) 初值随机化
{
d
X
t
=
a
(
t
,
X
t
)
d
t
X
0
(
w
)
=
Y
(
w
)
\begin{cases} dX_t=a(t, X_t)dt\\ X_0(w)=Y(w) \end{cases}
{dXt=a(t,Xt)dtX0(w)=Y(w)
(2) 随机噪声
d
X
t
=
a
(
t
,
X
t
)
d
t
+
b
(
t
,
X
t
)
d
B
t
dX_t=a(t, X_t)dt+b(t, X_t)dB_t
dXt=a(t,Xt)dt+b(t,Xt)dBt
两边积分可以得到Ito-SDE
X
t
=
X
0
+
∫
0
t
a
(
s
,
X
s
)
d
s
⏟
R
i
e
m
a
n
n
.
I
n
t
e
g
r
a
l
+
∫
0
t
b
(
s
,
X
s
)
d
B
s
⏟
I
t
o
.
I
n
t
e
g
r
a
l
X_t=X_0+\underbrace{\int_0^ta(s, X_s)ds}_{Riemann. Integral}+\underbrace{\int_0^tb(s, X_s)dB_s}_{Ito. Integral}
Xt=X0+Riemann.Integral
∫0ta(s,Xs)ds+Ito.Integral
∫0tb(s,Xs)dBs
SDE解的存在性和唯一性
Strong Solution
(1)
X
t
X_t
Xt is adapted
B
t
B_t
Bt i.e.
X
t
X_t
Xt is a function of
B
s
，
s
≤
t
B_s， s\leq t
Bs，s≤t.
(2) 以下两个积分是well defined
∫
0
t
a
(
s
,
X
s
)
d
s
∫
0
t
b
(
s
,
X
s
)
d
B
s
\int_0^t a(s, X_s)ds\\ \int_0^tb(s, X_s)dB_s
∫0ta(s,Xs)ds∫0tb(s,Xs)dBs
(3)
X
X
X is a function of the underlying sample path and of
a
(
t
,
x
)
a(t, x)
a(t,x) and
b
(
t
,
x
)
b(t, x)
b(t,x).
定理(强解存在唯一性)：
设初值为
X
0
X_0
X0，满足以下两个条件：
1.
E
[
X
0
2
]
<
∞
\mathbb{E}[X_0^2]<\infty
E[X02]<∞.
2.
X
0
X_0
X0与
B
t
B_t
Bt相互独立，对于任意的
x
,
y
∈
R
x, y \in \mathbb{R}
x,y∈R有
a
(
t
,
x
)
,
b
(
t
,
x
)
a(t, x), b(t, x)
a(t,x),b(t,x)是连续的.
∣
a
(
t
,
x
)
−
a
(
t
,
y
)
∣
+
∣
b
(
t
,
x
)
−
b
(
t
,
y
)
∣
≤
K
∣
x
−
y
∣
,
∃
K
∈
[
0
,
T
]
|a(t, x)-a(t, y)|+|b(t, x)-b(t, y)|\leq K|x-y|, \exist K \in [0, T]
∣a(t,x)−a(t,y)∣+∣b(t,x)−b(t,y)∣≤K∣x−y∣,∃K∈[0,T]. (Lipschitz Condition)
那么Ito-SDE有唯一的强解
X
t
∈
[
0
,
T
]
X_t \in [0, T]
Xt∈[0,T].
例：
线性SDE
X
t
=
X
0
+
∫
0
t
(
c
1
X
s
+
c
2
)
d
s
+
∫
0
t
(
σ
1
X
s
+
σ
2
)
d
B
s
X_t=X_0+\int_0^t(c_1X_s+c_2)ds+\int_0^t(\sigma_1X_s+\sigma_2)dB_s
Xt=X0+∫0t(c1Xs+c2)ds+∫0t(σ1Xs+σ2)dBs
其中
a
(
t
,
x
)
=
c
1
x
+
c
2
b
(
t
,
x
)
=
σ
1
x
+
σ
2
a(t, x)=c_1x+c_2\\ b(t, x)=\sigma_1x+\sigma_2
a(t,x)=c1x+c2b(t,x)=σ1x+σ2
验证Lipschitz条件
∣
a
(
t
,
x
)
−
a
(
t
,
y
)
∣
+
∣
b
(
t
,
x
)
−
b
(
t
,
y
)
∣
=
∣
c
1
∣
∣
x
−
y
∣
+
∣
σ
1
∣
∣
x
−
y
∣
≤
K
∣
x
−
y
∣
K
≥
∣
c
1
∣
+
∣
σ
1
∣
|a(t, x)-a(t, y)|+|b(t, x)-b(t, y)|=|c_1||x-y|+|\sigma_1||x-y|\leq K|x-y|\\ K\geq |c_1|+|\sigma_1|
∣a(t,x)−a(t,y)∣+∣b(t,x)−b(t,y)∣=∣c1∣∣x−y∣+∣σ1∣∣x−y∣≤K∣x−y∣K≥∣c1∣+∣σ1∣
等价SDE
转换定理(Transformation Formula)：假设Ito-SDE
d
X
t
=
a
(
t
,
X
t
)
d
t
+
b
(
t
,
X
t
)
d
B
t
dX_t=a(t, X_t)dt+b(t, X_t)dB_t
dXt=a(t,Xt)dt+b(t,Xt)dBt
将Ito积分转为Stratonovich积分
∫
0
T
f
(
t
,
X
t
)
∘
d
B
t
=
∫
0
T
f
(
t
,
X
t
)
d
B
t
+
1
2
∫
0
T
b
(
t
,
X
t
)
f
x
(
t
,
X
t
)
d
t
\int_0^Tf(t, X_t)\circ dB_t=\int_0^Tf(t, X_t)dB_t+\frac{1}{2}\int_0^Tb(t, X_t)f_x(t, X_t)dt
∫0Tf(t,Xt)∘dBt=∫0Tf(t,Xt)dBt+21∫0Tb(t,Xt)fx(t,Xt)dt
例 1：
设Ito-SDE
d
X
t
=
a
(
t
,
X
t
)
d
t
+
b
(
t
,
X
t
)
d
B
t
(1)
dX_t=a(t, X_t)dt+b(t, X_t)dB_t \tag{1}
dXt=a(t,Xt)dt+b(t,Xt)dBt(1)
转为Stratonovich-SDE
d
X
t
=
a
~
(
t
,
X
t
)
d
t
+
b
~
(
t
,
X
t
)
∘
d
B
t
(2)
dX_t=\widetilde{a}(t, X_t)dt+\widetilde{b}(t, X_t)\circ dB_t \tag{2}
dXt=a
(t,Xt)dt+b
(t,Xt)∘dBt(2)
根据转换定理：
∫
0
T
f
(
t
,
X
t
)
∘
d
B
t
=
∫
0
T
f
(
t
,
X
t
)
d
B
t
+
1
2
∫
0
T
b
(
t
,
X
t
)
f
x
(
t
,
X
t
)
d
t
\int_0^Tf(t, X_t)\circ dB_t=\int_0^Tf(t, X_t)dB_t+\frac{1}{2}\int_0^Tb(t, X_t)f_x(t, X_t)dt
∫0Tf(t,Xt)∘dBt=∫0Tf(t,Xt)dBt+21∫0Tb(t,Xt)fx(t,Xt)dt
不妨令
f
(
t
,
X
t
)
=
b
(
t
,
X
t
)
f(t, X_t)=b(t, X_t)
f(t,Xt)=b(t,Xt)，可以得到
b
(
t
,
X
t
)
∘
d
B
t
=
b
(
t
,
X
t
)
d
B
t
+
1
2
b
(
t
,
X
t
)
b
x
(
t
,
X
t
)
d
t
b(t, X_t)\circ dB_t=b(t, X_t)dB_t+\frac{1}{2}b(t, X_t)b_x(t, X_t)dt
b(t,Xt)∘dBt=b(t,Xt)dBt+21b(t,Xt)bx(t,Xt)dt
代入Ito-SDE形式
d
X
t
=
a
(
t
,
X
t
)
d
t
+
b
(
t
,
X
t
)
d
B
t
=
a
(
t
,
X
t
)
d
t
+
b
(
t
,
X
t
)
∘
d
B
t
−
1
2
b
(
t
,
X
t
)
b
x
(
t
,
X
t
)
d
t
=
(
a
(
t
,
X
t
)
−
1
2
b
(
t
,
X
t
)
b
x
(
t
,
X
t
)
)
⏟
a
~
d
t
+
b
(
t
,
X
t
)
⏟
b
~
∘
d
B
t
\begin{aligned} dX_t&=a(t, X_t)dt+b(t, X_t)dB_t \\ &=a(t, X_t)dt+b(t, X_t)\circ dB_t-\frac{1}{2}b(t, X_t)b_x(t, X_t)dt\\ &=\underbrace{(a(t, X_t)-\frac{1}{2}b(t, X_t)b_x(t, X_t))}_{\widetilde{a}}dt+\underbrace{b(t, X_t)}_{\widetilde{b}}\circ dB_t \end{aligned}
dXt=a(t,Xt)dt+b(t,Xt)dBt=a(t,Xt)dt+b(t,Xt)∘dBt−21b(t,Xt)bx(t,Xt)dt=a
(a(t,Xt)−21b(t,Xt)bx(t,Xt))dt+b
b(t,Xt)∘dBt
可以得到
{
a
~
=
a
(
t
,
X
t
)
−
1
2
b
(
t
,
X
t
)
b
x
(
t
,
X
t
)
b
~
=
b
(
t
,
X
t
)
\begin{cases} \widetilde{a}=a(t, X_t)-\frac{1}{2}b(t, X_t)b_x(t, X_t)\\ \widetilde{b}=b(t, X_t) \end{cases}
{a
=a(t,Xt)−21b(t,Xt)bx(t,Xt)b
=b(t,Xt)
方程
(
1
)
(1)
(1)和
(
2
)
(2)
(2)是等价SDE.
例 2：
Ito-SDE
d
X
t
=
1
2
f
(
X
t
)
f
′
(
X
t
)
d
t
+
f
(
X
t
)
d
B
t
dX_t=\frac{1}{2}f(X_t)f'(X_t)dt+f(X_t)dB_t
dXt=21f(Xt)f′(Xt)dt+f(Xt)dBt
可知
{
a
(
t
,
x
)
=
1
2
f
(
X
t
)
f
′
(
X
t
)
b
(
t
,
x
)
=
f
(
X
t
)
\begin{cases} a(t, x)=\frac{1}{2}f(X_t)f'(X_t)\\ b(t, x)=f(X_t) \end{cases}
{a(t,x)=21f(Xt)f′(Xt)b(t,x)=f(Xt)
根据转换定理转为Stratonovich-SDE
{
a
~
(
t
,
x
)
=
0
b
~
(
t
,
x
)
=
f
(
X
t
)
\begin{cases} \widetilde{a}(t, x)=0\\ \widetilde{b}(t, x)=f(X_t) \end{cases}
{a
(t,x)=0b
(t,x)=f(Xt)
等价SDE为
d
X
t
=
f
(
X
t
)
∘
d
B
t
dX_t=f(X_t)\circ dB_t
dXt=f(Xt)∘dBt
求解analogue:
d
k
(
t
)
=
f
(
k
(
t
)
)
d
c
(
t
)
dk(t)=f(k(t))dc(t)
dk(t)=f(k(t))dc(t)
移项得到
∫
d
l
(
t
)
f
(
l
(
t
)
)
=
d
c
(
t
)
\int \frac{dl(t)}{f(l(t))}=dc(t)
∫f(l(t))dl(t)=dc(t)
例 3：
d
X
t
=
1
2
n
X
t
2
n
−
1
d
t
+
X
t
n
d
B
t
dX_t=\frac{1}{2}nX_t^{2n-1}dt+X_t^ndB_t
dXt=21nXt2n−1dt+XtndBt
转为等价SDE
d
X
t
=
f
(
X
t
)
∘
d
B
t
=
X
t
n
∘
d
B
t
dX_t=f(X_t)\circ dB_t=X_t^n\circ dB_t
dXt=f(Xt)∘dBt=Xtn∘dBt
令
k
(
t
)
=
X
t
,
c
(
t
)
=
B
t
k(t)=X_t, c(t)=B_t
k(t)=Xt,c(t)=Bt，得到analogue-ODE:
d
k
(
t
)
=
k
(
t
)
n
d
c
(
t
)
dk(t)=k(t)^ndc(t)
dk(t)=k(t)ndc(t)
在区间
[
0
,
t
]
[0, t]
[0,t]上解之得
∫
l
(
0
)
l
(
t
)
1
k
(
t
)
n
d
k
(
t
)
=
c
(
t
)
−
c
(
0
)
1
1
−
n
[
k
(
t
)
]
1
−
n
−
1
1
−
n
[
k
(
0
)
]
1
−
n
=
c
(
t
)
−
c
(
0
)
\int_{l(0)}^{l(t)}\frac{1}{k(t)^n}dk(t)=c(t)-c(0)\\ \frac{1}{1-n}[k(t)]^{1-n}-\frac{1}{1-n}[k(0)]^{1-n}=c(t)-c(0)
∫l(0)l(t)k(t)n1dk(t)=c(t)−c(0)1−n1[k(t)]1−n−1−n1[k(0)]1−n=c(t)−c(0)
令
X
t
=
k
(
t
)
,
B
t
=
c
(
t
)
X_t=k(t), B_t=c(t)
Xt=k(t),Bt=c(t)，得到
X
t
1
−
n
−
X
0
1
−
n
=
(
1
−
n
)
B
t
X
t
=
[
X
0
1
−
n
+
(
1
−
n
)
B
t
]
1
1
−
n
X_t^{1-n}-X_0^{1-n}=(1-n)B_t\\ X_t=[X_0^{1-n}+(1-n)B_t]^{\frac{1}{1-n}}
Xt1−n−X01−n=(1−n)BtXt=[X01−n+(1−n)Bt]1−n1
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