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- 8/29/13
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Hello everyone:
I'm not sure if it's the right place to ask.I'm reading some quant math books and get confused with Ito's Lemma.
dF =dF/dX*dX +1/2*(d^2 F)/dX^2*dX^2;(dX ~N(0,dt^2)),,, this part is straightforward.
The book told me dX^2 is defined by dX^2= dt as dt goes to 0?
How to prove this property?
I'm not sure if it's the right place to ask.I'm reading some quant math books and get confused with Ito's Lemma.
dF =dF/dX*dX +1/2*(d^2 F)/dX^2*dX^2;(dX ~N(0,dt^2)),,, this part is straightforward.
The book told me dX^2 is defined by dX^2= dt as dt goes to 0?
How to prove this property?