Stochastic differential calculus for Gaussian and non-Gaussian noises: A critical review

In this paper a review of the literature works devoted to the study of stochastic differential equations (SDEs) subjected to Gaussian and non-Gaussian white noises and to fractional Brownian noises is given. In these cases, particular attention must be paid in treating the SDEs because the classical rules of the differential calculus, as the Newton–Leibnitz one, cannot be applied or are applicable with many difficulties. Here all the principal approaches solving the SDEs are reported for any kind of noise, highlighting the negative and positive properties of each one and making the comparisons, where it is possible