An Introduction to Stochastic Processes (1)
Itô’s lemma: definition and application
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16 min readJun 22, 2022
In this post, the main topic is Itô’s lemma, which plays an important role in financial mathematics and is a useful tool for dealing with stochastic processes. A lot of articles and documents can be found about this topic, but very few of them include the introduction of the background, such as the Wiener process, filtration, and so on. They usually assume that the readers are already familiar with those concepts. Of course, it is easy to just search for the related context, but it takes…