Itô's lemma

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Notion

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Science and technology

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What Wikipedia says

In mathematics, Itô's lemma or Itô's formula is an identity used in Itô calculus to find the differential of a time-dependent function of a stochastic process. It serves as the stochastic calculus counterpart of the chain rule.

Excerpt from the Wikipedia article “Itô's lemma”, under the CC BY-SA 4.0 license. Read the article on Wikipedia

Image: Roboquant, CC BY 3.0, via Wikimedia Commons.