In mathematics, Itô's lemma or Itô's formula (also called the Itô–Doeblin formula) is an identity used in Itô calculus to find the differential of a time-dependent function of a stochastic process. It serves as the stochastic calculus counterpart of the chain rule.
In mathematics, Itô's lemma or Itô's formula (also called the Itô–Doeblin formula) is an identity used in Itô calculus to find the differential of a time-dependent function of a stochastic process. It serves as the stochastic calculus counterpart of the chain rule.
Source: Wikipedia "Itô's lemma" · CC BY-SA 4.0
Share this article: X · Bluesky