Convert Parametric SDE Processes to Equivalent Ito Processes
The canonical form of ItoProcess or StratonovichProcess in the Wolfram Language encodes their defining SDEs
as follows:
![](Files/ConvertParametricSDEProcessesToEquivalentItoProcesses.en/1.png)
WienerProcess solves the SDE
, where
is the standard Wiener process, also known as the Brownian motion process:
![](Files/ConvertParametricSDEProcessesToEquivalentItoProcesses.en/3.png)
![](Files/ConvertParametricSDEProcessesToEquivalentItoProcesses.en/4.png)