3 ms·
Here's my understanding of Ito calculus if it helps anyone: 1. The only random process we understand initially is Brownian motion. 2. Luckily, we can change c
by whatshisface 2y ago
Here's my understanding of Ito calculus if it helps anyone:
1. The only random process we understand initially is Brownian motion.
2. Luckily, we can change coordinates.
- deleted 2y ago[deleted]
- max_ 2y agoThanks, could you expand more on 2?
- hrududuu 2y agoIto's formula/lemma is like the chain rule from calculus. It is a generalization, in that it uses a second order Taylor series expansion, whereas the chain rule only needs a first order expansion. Anyway, I think (2) is a reflection of this fact, and how the chain rule lets us compute dynamics of a derived process. I sort of disagree with (1), since Ito's lemma is most naturally applied to ~martingales, of which Brownian Motion is an important special case.