Stochastic Calculus
Table of Contents
- Calculus on the stochastic process.
1. Itô Calculus
1.1. Itô's Lemma
\[ d(f(t, B_t)) = \left(\frac{\partial f}{\partial t} + \frac{1}{2}\frac{\partial^2 f}{\partial x^2}\right)dt + \frac{\partial f}{\partial x} dB_t \] where \( B_t \) is the Wiener process.