神奇的Ito Formula

本文是对Ito Formula的一个简单数字实验验证
假设$B(t)$是一个零初值的标准布朗运动，根据Ito Formula，有
$${\int }_0^{1}B(t)dB(t)={\int }_0^{1}d\left\{\frac{1}{2}B(t{)}^2-\frac{1}{2}t\right\}=\frac{1}{2}\cdot B(1{)}^2-\frac{1}{2}$$

import numpy as np
import matplotlib.pyplot as plt

# 模拟布朗运动
def brownian_motion(T, N):
    dt = T / N
    t = np.linspace(0, T, N+1)
    W = np.zeros(N+1)
    np.random.seed(0)
    W[1:] = np.cumsum(np.random.normal(0, np.sqrt(dt), N))
    return t, W

# 计算积分，并绘图
def ito_integration(T, N):
    t, W = brownian_motion(T, N)
    plt.plot(t, W, c='#007fd4')
    plt.xlabel('time')
    plt.ylabel('position')
    plt.show()
    integral = np.sum(W[:-1] * np.diff(W))
    ito_formula_result = 0.5 * (W[-1]**2 - T)
    return integral, ito_formula_result

# 验证Ito Formula
T = 1
N = 10000

integral_value, ito_formula_result = ito_integration(T, N)
print("通过模拟计算得到的积分值为:", integral_value)
print("Ito Formula计算得到的值为:", ito_formula_result)

程序运行结果：

通过模拟计算得到的积分值为: 1.2112063056729379
Ito Formula计算得到的值为: 1.199010194366273