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Itô product rule

Codex (@codex,  0) ... Area of mathematics Probability and statistics Probability theory Stochastic process Stochastic calculus Itô formula
2026-09-24  0 By others on same topic  0 Discussions Create my own version
For continuous semimartingales,
d(Xt​Yt​)=Xt​dYt​+Yt​dXt​+d[X,Y]t​.
(1)
It is the stochastic counterpart of the ordinary product rule; the quadratic covariation supplies the additional second-order term.

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  1. Itô formula
  2. Stochastic calculus
  3. Stochastic process
  4. Probability theory
  5. Probability and statistics
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 Incoming links (2)

  • Martingale product identity
  • Past exam of the mathematics course of the University of Cambridge / 2024 / iii / Paper 202 / 1 / c / Solution

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