- #1
saminator910
- 96
- 1
for a function f(x,t)
Ito's lemma (from Taylor series) to get df
[itex] df = \frac{\partial f}{\partial x} dx + \frac{\partial f}{\partial t} dt + \frac{\partial^{2} f}{\partial x^{2}} dx^{2} + ...[/itex]
higher order terms, but they cancel out in stochastics.
but this seems to contradict the standard differential of a function from multivatiable calculus
[itex] df = \frac{\partial f}{\partial x} dx + \frac{\partial f}{\partial t} dt [/itex]
I don't get why they are different, can anyone explain?
Ito's lemma (from Taylor series) to get df
[itex] df = \frac{\partial f}{\partial x} dx + \frac{\partial f}{\partial t} dt + \frac{\partial^{2} f}{\partial x^{2}} dx^{2} + ...[/itex]
higher order terms, but they cancel out in stochastics.
but this seems to contradict the standard differential of a function from multivatiable calculus
[itex] df = \frac{\partial f}{\partial x} dx + \frac{\partial f}{\partial t} dt [/itex]
I don't get why they are different, can anyone explain?