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3 posts tagged with "Stochastic"

Stochastic Calculus

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Ito's Lamma

· 2 min read
Hinny Tsang
Data Scientist @ Pollock Asset Management

In very simple terms, Ito's lemma is a formula that allows us to compute the differential of a function of a stochastic process. In normal functions, we can use the chain rule to compute the differential of a function. However, in stochastic calculus, we need to use Ito's lemma.