伊藤の確率積分

最近確率解析の基礎を考えています。The fundamental element of the stochastic calculus seems to be the Ito integral, or the integral of a function with respect to Brownian Motion. The next important rule is Ito's Lemma, an analog of the chain rule for deriving the differential of a derived function based on a Geometric Brownian Motion in terms of dt and dW.