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[Axiom-developer] [Symbolic Ito Calculus] (new)
From: |
Bill Page |
Subject: |
[Axiom-developer] [Symbolic Ito Calculus] (new) |
Date: |
Wed, 22 Feb 2006 20:48:41 -0600 |
Changes http://wiki.axiom-developer.org/SymbolicItoCalculus/diff
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itovsn3 (author: Wilfrid S. Kendall)
http://www2.warwick.ac.uk/fac/sci/statistics/staff/academic/kendall/personal/ca
Symbolic Itô Calculus is the name for my implementation of Itô calculus
(stochastic calculus for continuous semimartingales)in various computer algebra
packages. See below for various Warwick Statistics Department preprints
describing aspects of the work. If you want to get hold of the software then
there are various possibilities depending on what is your favourite computer
algebra package.
...
AXIOM: I have produced an AXIOM implementation of symbolic Itô calculus (see
"preprint
327":http://www2.warwick.ac.uk/fac/sci/statistics/staff/academic/kendall/personal/abstracts/#327)
and "Preprint
328":http://www2.warwick.ac.uk/fac/sci/statistics/staff/academic/kendall/personal/abstracts/#328
below describes the implementation, including AXIOM listings using the NuWeb
implementation of literate programming. Alternatively you can download the
AXIOM source in the following "gzipped
tarfile":http://www2.warwick.ac.uk/fac/sci/statistics/staff/academic/kendall/personal/ca/itovsn3-axiom.tgz
. This work was funded by EPSRC grant GR/K71677: the summary of the final
report for this grant is to be found
"here":http://www2.warwick.ac.uk/fac/sci/statistics/staff/academic/kendall/personal/ca/k71677
--
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