Ito’s Lemma

Uwe Hassler

Chapter 11 in Stochastic Processes and Calculus, 2016, pp 239-258 from Springer

Abstract: Abstract If a process is given as a stochastic Riemann and/or Ito integral, then one may wish to determine how a function of the process looks. This is achieved by Ito’s lemma as an ingredient of stochastic calculus. In particular, stochastic integrals can be determined and stochastic differential equations can be solved with it; we will get to know stochastic variants of familiar rules of differentiation (chain and product rule). For this purpose we approach Ito’s lemma step by step by first discussing it for Wiener processes, then by generalizing it for diffusion processes and finally by considering some extensions.

Keywords: Stochastic Differential Equation; Wiener Process; Product Rule; Stochastic Variant; Stochastic Integral (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1007/978-3-319-23428-1_11

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