Ito Lemma
Tags: #Financial #EconomicsEquation
$$\mathrm{d}X(t) = a(t, X(t)) \mathrm{d}t + b(t, X(t))\mathrm{d} Z(t) \\ Y(t) = f(t, X(t)) \mathrm{d}t \\ \mathrm{d} Y(t) = f_{t}(t, X(t)) + f_{x}(t, X(t))\mathrm{d} X(t) + \frac{1}{2} f_{xx}(t, X(t))[\mathrm{d}X(t)]^{2} \\ [\mathrm{d} X(t)]^{2} = b^{2}(t, X(t))\mathrm{d} t$$Latex Code
\mathrm{d}X(t) = a(t, X(t)) \mathrm{d}t + b(t, X(t))\mathrm{d} Z(t) \\ Y(t) = f(t, X(t)) \mathrm{d}t \\ \mathrm{d} Y(t) = f_{t}(t, X(t)) + f_{x}(t, X(t))\mathrm{d} X(t) + \frac{1}{2} f_{xx}(t, X(t))[\mathrm{d}X(t)]^{2} \\ [\mathrm{d} X(t)]^{2} = b^{2}(t, X(t))\mathrm{d} t
Have Fun
Let's Vote for the Most Difficult Equation!
Introduction
Equation
Latex Code
\mathrm{d}X(t) = a(t, X(t)) \mathrm{d}t + b(t, X(t))\mathrm{d} Z(t) \\ Y(t) = f(t, X(t)) \mathrm{d}t \\ \mathrm{d} Y(t) = f_{t}(t, X(t)) + f_{x}(t, X(t))\mathrm{d} X(t) + \frac{1}{2} f_{xx}(t, X(t))[\mathrm{d}X(t)]^{2} \\ [\mathrm{d} X(t)]^{2} = b^{2}(t, X(t))\mathrm{d} t
Explanation
Latex code for the Ito Lemma.
- : Diffusion
- : Stochastic differential equation for X(t)
Related Documents
Related Videos
Discussion
Comment to Make Wishes Come True
Leave your wishes (e.g. Passing Exams) in the comments and earn as many upvotes as possible to make your wishes come true
-
Henry RiveraI really want to ace this exam.Kathy Bailey reply to Henry RiveraBest Wishes.2023-09-19 00:00:00.0 -
Curtis PriceI'm determined to get a pass on this test.Nancy Anderson reply to Curtis PriceBest Wishes.2023-02-16 00:00:00.0 -
Bruce OlsonMy mind is set on passing this test.John Smith reply to Bruce OlsonNice~2023-09-12 00:00:00.0
Reply