Construct · 1 fields · 1 citations

Itô's lemma: a standalone construct

One name. One construct. A landmark on the map.

● anchor · a standalone construct Nearest construct by meaning·not indexed

A single standalone construct; nearby constructs are located against it in the Collider. Tap a field for its definition, unit, and measures.

Probability theory

the chain rule of stochastic calculus, giving how a smooth function of a diffusion process changes, including an extra second-order term.

In probability theory, Itô's lemma refers to the chain rule of stochastic calculus, giving how a smooth function of a diffusion process changes, including an extra second-order term. This meaning comes from Itô (1951) in Nagoya Mathematical Journal.[1]

Unit
Recovery means
Measured by

Run it through the Collider, or take the citations with you.

See how Itô's lemma sits against neighbouring constructs in the Collider, or export every reference on this page in one click.

Open in Collider Export BibTeX Report this entry

Nearby constructs

chain3 fields · 3 citationsjingle · one word, three constructs diffusion6 fields · 12 citationsjingle · one name, six constructs function5 fields · 6 citationsjingle · one word, five constructs

References

Itô, K. (1951). On a Formula Concerning Stochastic Differentials. Nagoya Mathematical Journal, 3, 55-65. https://doi.org/10.1017/s0027763000012216

Cited on this page?

Confirm your construct, or correct us.

If your work is cited behind one of these entries, you know better than we do whether we captured the meaning right. Confirm it, suggest an edit, or dispute it, and your name goes on the entry as an author who has checked it, linked to your ORCID.

Claim your construct