Itô Calculus
★★★★★Graduate+
📖Definition
Integration theory for stochastic processes. Foundation of SDEs
📐Formulas
∫f dW (Itô integral)
Itô formula: df = (∂f/∂t + ½σ²∂²f/∂x²)dt + σ∂f/∂x dW
(dW)² = dt
✏️Examples
예제 1
Geometric Brownian motion
예제 2
Option pricing
예제 3
SDEs
⚡Applications
Financial engineering
Physics
Biology
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