An Itô equation is a stochastic differential equation whose stochastic integrals
are interpreted in the Itô sense. A scalar Itô
equation driven by a Wiener process 
is commonly written
 |
where 
is the drift coefficient and 
is the diffusion coefficient.
This differential notation is shorthand for the integral
equation
 |
The final term is an Itô integral, so its integrand is evaluated using only information available
up to time 
(Kloeden and Platen 1992).
