X-Nico

3 unusual facts about Itō calculus


Stratonovich integral

Unlike the Itō calculus, Stratonovich integrals are defined such that the chain rule of ordinary calculus holds.

In stochastic processes, the Stratonovich integral (developed simultaneously by Ruslan L. Stratonovich and D. L. Fisk) is a stochastic integral, the most common alternative to the Itō integral.

The Itō integral of the process X with respect to the Wiener process W is denoted by



see also