3
$\begingroup$

Are there any tables with a collection of common Ito Integrals, their equivalent forms, etc. that anyone knows of?

Did a search but didn't come up with anything and was wondering if anyone knew of anything of the like...

Thanks.

  • 0
    I have Oksendahl and Klebaner and obviously they both have all of them spread throughout the book but neither has a quick reference table of common stochastic integrals. If you happen to know of where such a thing exists I'd be happy to get it. That's why I am asking.2012-12-06
  • 1
    You should alsolook for symbolic packages for this! I think there is one for Maple.2012-12-07

2 Answers 2

4

This actually isn't a bad start anyway if anyone is looking for the same...

Stochastic Calculus Cheat Sheet

1

$\newcommand{\d}{\mathrm{d}}$Here is a short list of useful correspondences, especially for certain useful martingales such as $e^{B_t - \tfrac{1}{2}t}$:

\begin{array} {|r|r|} \hline X_t & \d X_t = u \d t + v \d B_t\\ \hline B_t & \d B_t\\ B_t^2 & 2 B_t \d B_t + \d t\\ B_t^2 - t & 2 B_t \d B_t\\ B_t^3 & 3 B_t^2 \d B_t + 3 B_t \d t\\ e^{B_t} & e^{B_t}\d B_t + \tfrac{1}{2}e^{B_t}\d t \\ e^{B_t - \tfrac{1}{2}t} & e^{B_t - \tfrac{1}{2}t} \d B_t\\ e^{\tfrac{1}{2}t}\sin B_t & e^{\tfrac{1}{2}t} \cos B_t \d B_t\\ e^{\tfrac{1}{2}t}\cos B_t & -e^{\tfrac{1}{2}t} \sin B_t \d B_t\\ (B_t + t) e^{-B_t - \tfrac{1}{2}t} & (1 - B_t - t) e^{-B_t - \tfrac{1}{2}t} \d B_t\\\hline \end{array}

All the above can be verified using Itô's formula and alongside the Itô isometry and integration by parts can be used to evaluate several stochastic integrals, their expectations and variances.

Here is a table of stochastic integrals...

\begin{array} {|r|r|r|} \hline \text{Stochastic Integral} & \text{Result} & \text{Variance}\\ \hline \int_0^t \d B_s & B_t & t \\ \int_0^t s \d B_s & tB_t - \int_0^t B_s \d s & \tfrac{1}{3}t^3 \\ \int_0^t B_s \d B_s & \tfrac{1}{2}B_t^2 - \tfrac{1}{2}t & \tfrac{1}{2}t^2\\ \int_0^t B_s^2 \d B_s & \tfrac{1}{3}B_t^3 - \int_0^t B_s \d s& 3t^2\\ \int_0^t e^{B_s - \tfrac{1}{2}s}\d B_s & e^{B_t - \tfrac{1}{2}t} - 1 & e^{t}-1\\ \hline \end{array}