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Itô product rule
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Area of mathematics
Probability and statistics
Probability theory
Stochastic process
Stochastic calculus
Itô formula
2026-09-24
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For continuous
semimartingales
,
d
(
X
t
Y
t
)
=
X
t
d
Y
t
+
Y
t
d
X
t
+
d
[
X
,
Y
]
t
.
(1)
It is the
stochastic
counterpart of the ordinary
product rule
; the
quadratic covariation
supplies the additional
second
-order term.
Ancestors
(8)
Itô formula
Stochastic calculus
Stochastic process
Probability theory
Probability and statistics
Area of mathematics
Mathematics
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(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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