Itô's lemma
id:
it-s-lemma-206-1214283
title:
Itô's lemma
text:
In mathematics, Itô's lemma or Itô's 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. It can be heuristically derived by forming the Taylor series expansion of the function up to its second derivatives and retaining terms up to first order in the time increment and second order in the Wiener process increment. The lemma is widely employed in mathematical f
brand slug:
wiki
category slug:
encyclopedia
description:
Identity in Itô calculus analogous to the chain rule
original url:
https://en.wikipedia.org/wiki/It%C3%B4%27s_lemma
date created:
2003-03-31T09:28:52Z
date modified:
2024-09-10T20:39:26Z
main entity:
{"identifier":"Q1151100","url":"https://www.wikidata.org/entity/Q1151100"}
image:
fields total:
13
integrity:
15