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Derivative of Stochastic Function

  1. Oct 13, 2009 #1

    A quick question regarding random functions.
    Suppose [tex]\xi(t)[/tex] is a stochastic function. In other words, its value at time t is random with some known distribution (Gaussian, say).
    Is there any way of calculating [tex]\frac{d\xi}{dt}[/tex]?

  2. jcsd
  3. Oct 13, 2009 #2
    No, there is not. A derivative should not depend on the way of tending the difference df to zero if dt is small. In case of a stochastic (=discontinuous) function it is not the case.
    Last edited: Oct 13, 2009
  4. Oct 13, 2009 #3
    So how can we calculate [tex]\frac{d\xi}{dt}[/tex]?
  5. Oct 13, 2009 #4
    There is no a preferable way to calculate df/dt in your case.
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