Itô formula
= Itô formula
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{wiki=Itô's_lemma}
For an Itô process $dX_t=b_t\,dt+\sigma_t\,dB_t$ and a twice differentiable function $f$,
$$
df(X_t)=f'(X_t)\,dX_t+\frac12f''(X_t)\sigma_t^2\,dt.
$$
The second-order term reflects the nonzero quadratic variation of <Brownian motion>.