Solution

ID: past-exam-of-the-probability-statistics-and-options-ii-course-of-the-university-of-oxford/2010/f/f2/b/solution

A embedded hypersurface is locally carried by a coordinate diffeomorphism to an open subset of . Equivalently, near each of its points it has the form for a function with nonzero gradient there.
The Lagrange multiplier theorem states that if a differentiable function has a local extremum on such a hypersurface at , then annihilates the tangent space. In a regular local level-set description this is
for some real . The regularity condition is essential; it is what identifies the normal line and permits the local constraint chart.

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