In its simplest form, for any twice continuously differentiable function "f" on the reals and Itō process "X" as described above, it states that "f"("X") is itself an Itō process satisfying:formula_12This is the stochastic calculus version of the change of variables formula and chain rule.
In its simplest form, for any twice continuously differentiable function "f" on the reals and Itō process "X" as described above, it states that "f"("X") is itself an Itō process satisfying: formula_15This is the stochastic calculus version of the change of variables formula and chain rule.