Mathematics Stack Exchange is a question and answer site for people studying math at any level and professionals in related fields. Join them; it only takes a minute:

Sign up
Here's how it works:
  1. Anybody can ask a question
  2. Anybody can answer
  3. The best answers are voted up and rise to the top

When solving a SDE by Ito's formula, we have to find a function $f(t, X_t)$ of index $t$ and the process $X$ to be solved for.

  1. I was wondering what is the criterion of choosing $f$? Is it to make the integrands not contain $X$?
  2. How is $f$ chosen in principle?

Thanks and regards!

share|cite|improve this question

I think the following note will be helpful for you, it shows us how to solve most of SDEs which are solvable. If you just want to know how to solve SDE, start with section 14.

share|cite|improve this answer

Your Answer


By posting your answer, you agree to the privacy policy and terms of service.

Not the answer you're looking for? Browse other questions tagged or ask your own question.