Ito's Lemma

[@LuyangHan-i1m]

really thank u, that is really helpful for next week's final exam.

[@mikethemathematician]

@user-qn4hf1zw1k You are welcome! I hope that the exam went well!

[@joseivan2337]

excellent explanation, it is helping very much my studies

[@weishao4353]

excellent explanation, thank you!

[@mikethemathematician]

@weishao4353 you are welcome!

[@alexlee2064]

Thank you for the great lecture! When we are solving example problem, why don't we use chain rule for round_Phi/ round_t term in coefficient of dt in ito's lemma or why is it considered as 0 because I think X is function of t? I know that W(t) is not differentiable, is this because of W(t)? Does differentiation changes for stochastic process? Could you give me some detailed explanations or links I can reference?

[@alexeyrogozinskiy2622]

fantastic! 1000000 likes))

[@mikethemathematician]

Thanks @alexeyrogozinskiy2622

[@user-wc7em8kf9d]

Nice video and thks for sharing.

[@mikethemathematician]

@user-wc7em8kf9d Of course!

[@tommackinson1716]

Why do we ignore term of order higher than dt and not do the expansion past second order?

[@mikethemathematician]

@tommackinson1716 Great question! Remember that we want (\delta t) to approach zero. When we divide by (\delta t) any term of the form (\delta t)^a where a>1 will vanish as (\delta t) tends to zero. Does that make sense?

[@asadyezdan3858]

What’s the SDE, what does it stand for?

[@andrewmapes8799]

Stochastic Differential Equation. Like a normal ODE but with that Weiner process W_t part

[@Bbdu75yg]

Amazing ❤

[@mikethemathematician]

Thanks so much!