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Intermediate Proof
Ito's Lemma
Students often forget the
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t
\frac{1}{2} \sigma^2 \frac{\partial^2 f}{\partial x^2} dt
2
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∂
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∂
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t
term, a crucial 'Ito correction' stemming from Brownian motion's quadratic variation, treating it like a standard chain rule problem.
Institutional Reference: Stochastic Calculus
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