C
Cheng
Member
Hi there,
I would appreciate if someone could explain further on Ito's integral and Ito's lemma. I'm very confused with the materials given in the core reading.
1) in page 15, how do I get the Taylor's theorem to second order? I could not connect the theorem given in pg 15, to the Taylor's series (two variables) as given in section 1.2 of the Tables.
2) Also, how do I get formula 7.3 in page 19? Is f(t,Xt) = Xt?
given in formula 7.2, dXt= Yt dBt + At dt, do I partial differentiate eqn 7.2 with respect to x, to get eqn 7.3?
3) also in page 19, how do I get the Taylor's formula to second-order? and what's the difference between this formula (in pg19) as compare to the one given earlier in pg 15?
Thanks in advance!
I would appreciate if someone could explain further on Ito's integral and Ito's lemma. I'm very confused with the materials given in the core reading.
1) in page 15, how do I get the Taylor's theorem to second order? I could not connect the theorem given in pg 15, to the Taylor's series (two variables) as given in section 1.2 of the Tables.
2) Also, how do I get formula 7.3 in page 19? Is f(t,Xt) = Xt?
given in formula 7.2, dXt= Yt dBt + At dt, do I partial differentiate eqn 7.2 with respect to x, to get eqn 7.3?
3) also in page 19, how do I get the Taylor's formula to second-order? and what's the difference between this formula (in pg19) as compare to the one given earlier in pg 15?
Thanks in advance!