Abstract

AbstractIn order to use the theory of stochastic integration, much like in classical integration, certain rules are of fundamental importance. The most famous of these, ‘Itô’s Differential Rule’, generalizes the chain rule from classical calculus. Deriving this rule and exploring its consequences are the aims of this chapter.KeywordsDifferential RuleStochastic IntegralStratonovich IntegralDeterministic CompensatorLocal Time ProcessThese keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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