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This article is within the scope ofWikiProject Mathematics, a collaborative effort to improve the coverage ofmathematics on Wikipedia. If you would like to participate, please visit the project page, where you can jointhe discussion and see a list of open tasks.MathematicsWikipedia:WikiProject MathematicsTemplate:WikiProject Mathematicsmathematics
The section of advantages/disadvanteges of the Stratonovich integraldisplayed a strong bias towards application in financial math.I've edited this paragraph and added the applications of the Stratonovich integralin physics. --193.175.8.13 (talk)10:13, 30 January 2008 (UTC)[reply]
The formula for the transition from Ito to Stratonovich integral is still invalid. The general formula however is correct. It might make sense to just give the conversion from an Ito SDE to the corresponding Stratonovich SDE instead. --137.205.192.27 (talk)09:52, 21 July 2008 (UTC)[reply]
The removed text contained, among other things, this statement:Moreover, in the appendix of Ref., it is shown that the widespread argumentation stating that, unlike Ito approach, Stratonovich approach "looks" into the future is a misconception. None of the approaches to SDEs "look" into the future. This is in fact an interesting claim, if perhaps a bit subtle and non-obvious. Financial writings are littered with hand-wavey concepts of "clairvoyance". c.f. article onItô calculus. It be interesting to see this expanded on.67.198.37.16 (talk)03:25, 6 May 2025 (UTC)[reply]
In my opinion it is a completely obvious claim in view of the Itô-Stratonovich conversion formula. The "clairvoyance" appearing in the article onItô calculus refers to the integrand being adapted, which has nothing to do with the interpretation of the integral. In finance however, the Itô integral is indeed often natural when linking an idealised continuous model to the "real" underlying discrete process and the reason usually is indeed that a trading strategy cannot depend on future price moves.Hairer (talk)13:25, 7 May 2025 (UTC)[reply]
