Multidimensional Itô Calculus

Geon Ho Choe
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Geon Ho Choe: Korea Advanced Institute of Science and Technology, Department of Mathematical Sciences

Chapter Chapter 10 in Quantitative Methods for Finance with Simulations II, 2026, pp 183-189 from Springer

Abstract: Abstract In this chapter we study multidimensional Itô calculus. Increments of stochastic processes defined by correlated Brownian motions are themselves correlated, and the multidimensional Itô’s lemma describes the amount of correlations of infinitesimal increments.

Date: 2026
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DOI: 10.1007/978-3-032-12331-2_10

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