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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.

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AXIOM: I have produced an AXIOM implementation of symbolic Itô calculus (see preprint 327 and Preprint 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 . This work was funded by EPSRC grant GR/K71677: the summary of the final report for this grant is to be found here

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Here is a patch to compile itovsn3 with Fricas:

itovsn3_fricas.patch




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