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- Itxc3xb4s_lemma abstract "In mathematics, Itô's lemma is an identity used in Itô calculus to find the differential of a time-dependent function of a stochastic process. It serves as the stochastic calculus counterpart of the chain rule. Typically, it is memorized by forming the Taylor series expansion of the function up to its second derivatives and identifying the square of an increment in the Wiener process with an increment in time. The lemma is widely employed in mathematical finance, and its best known application is in the derivation of the Black–Scholes equation for option values.Itô's lemma, which is named after Kiyosi Itô, is occasionally referred to as the Itô–Doeblin theorem in recognition of the recently discovered work of Wolfgang Doeblin.Note that while Ito's lemma was proved by Kiyosi Itô, Itô's theorem, a result in group theory, is due to Noboru Itô.".
- Itxc3xb4s_lemma wikiPageExternalLink onstochasticdiff029540mbp.
- Itxc3xb4s_lemma wikiPageExternalLink 1195572786.
- Itxc3xb4s_lemma wikiPageExternalLink chap6.8.htm.
- Itxc3xb4s_lemma wikiPageExternalLink ito.htm.
- Itxc3xb4s_lemma wikiPageID "203962".
- Itxc3xb4s_lemma wikiPageLength "14266".
- Itxc3xb4s_lemma wikiPageOutDegree "53".
- Itxc3xb4s_lemma wikiPageRevisionID "681303464".
- Itxc3xb4s_lemma wikiPageWikiLink AM–GM_inequality.
- Itxc3xb4s_lemma wikiPageWikiLink Annualized_return.
- Itxc3xb4s_lemma wikiPageWikiLink Bernt_Øksendal.
- Itxc3xb4s_lemma wikiPageWikiLink Black–Scholes.
- Itxc3xb4s_lemma wikiPageWikiLink Black–Scholes_equation.
- Itxc3xb4s_lemma wikiPageWikiLink Black–Scholes_formula.
- Itxc3xb4s_lemma wikiPageWikiLink Black–Scholes_model.
- Itxc3xb4s_lemma wikiPageWikiLink Category:Equations.
- Itxc3xb4s_lemma wikiPageWikiLink Category:Lemmas.
- Itxc3xb4s_lemma wikiPageWikiLink Category:Probability_theorems.
- Itxc3xb4s_lemma wikiPageWikiLink Category:Statistical_theorems.
- Itxc3xb4s_lemma wikiPageWikiLink Category:Stochastic_calculus.
- Itxc3xb4s_lemma wikiPageWikiLink Chain_rule.
- Itxc3xb4s_lemma wikiPageWikiLink Compensated_process.
- Itxc3xb4s_lemma wikiPageWikiLink Convexity_(finance).
- Itxc3xb4s_lemma wikiPageWikiLink Convexity_correction.
- Itxc3xb4s_lemma wikiPageWikiLink Càdlàg.
- Itxc3xb4s_lemma wikiPageWikiLink Differentiable.
- Itxc3xb4s_lemma wikiPageWikiLink Differentiable_function.
- Itxc3xb4s_lemma wikiPageWikiLink Differential_(calculus).
- Itxc3xb4s_lemma wikiPageWikiLink Differential_(mathematics).
- Itxc3xb4s_lemma wikiPageWikiLink Doléans-Dade_exponential.
- Itxc3xb4s_lemma wikiPageWikiLink Feynman–Kac_formula.
- Itxc3xb4s_lemma wikiPageWikiLink Geometric_Brownian_motion.
- Itxc3xb4s_lemma wikiPageWikiLink Gradient.
- Itxc3xb4s_lemma wikiPageWikiLink Group_theory.
- Itxc3xb4s_lemma wikiPageWikiLink Hessian_matrix.
- Itxc3xb4s_lemma wikiPageWikiLink Inequality_of_arithmetic_and_geometric_means.
- Itxc3xb4s_lemma wikiPageWikiLink Itxc3xb4s_lemma.
- Itxc3xb4s_lemma wikiPageWikiLink Itxc3xb4s_theorem.
- Itxc3xb4s_lemma wikiPageWikiLink Itô_calculus.
- Itxc3xb4s_lemma wikiPageWikiLink Kiyosi_Itô.
- Itxc3xb4s_lemma wikiPageWikiLink Log-normal_distribution.
- Itxc3xb4s_lemma wikiPageWikiLink Martingale_(probability_theory).
- Itxc3xb4s_lemma wikiPageWikiLink Mathematical_finance.
- Itxc3xb4s_lemma wikiPageWikiLink Mathematics.
- Itxc3xb4s_lemma wikiPageWikiLink Noboru_Itô.
- Itxc3xb4s_lemma wikiPageWikiLink Option_(finance).
- Itxc3xb4s_lemma wikiPageWikiLink Poisson_process.
- Itxc3xb4s_lemma wikiPageWikiLink Probability_distribution.
- Itxc3xb4s_lemma wikiPageWikiLink Rate_of_return.
- Itxc3xb4s_lemma wikiPageWikiLink Semimartingale.
- Itxc3xb4s_lemma wikiPageWikiLink Stochastic_differential_equation.
- Itxc3xb4s_lemma wikiPageWikiLink Stochastic_process.
- Itxc3xb4s_lemma wikiPageWikiLink Taylor_series.
- Itxc3xb4s_lemma wikiPageWikiLink Wiener_process.
- Itxc3xb4s_lemma wikiPageWikiLink Wolfgang_Doeblin.
- Itxc3xb4s_lemma wikiPageWikiLinkText "Itô's lemma".
- Itxc3xb4s_lemma hasPhotoCollection Itxc3xb4s_lemma.
- Itxc3xb4s_lemma wikiPageUsesTemplate Template:Math.
- Itxc3xb4s_lemma wikiPageUsesTemplate Template:Mvar.
- Itxc3xb4s_lemma wikiPageUsesTemplate Template:Reflist.
- Itxc3xb4s_lemma subject Category:Equations.
- Itxc3xb4s_lemma subject Category:Lemmas.
- Itxc3xb4s_lemma subject Category:Probability_theorems.
- Itxc3xb4s_lemma subject Category:Statistical_theorems.
- Itxc3xb4s_lemma subject Category:Stochastic_calculus.
- Itxc3xb4s_lemma comment "In mathematics, Itô's lemma is an identity used in Itô calculus to find the differential of a time-dependent function of a stochastic process. It serves as the stochastic calculus counterpart of the chain rule. Typically, it is memorized by forming the Taylor series expansion of the function up to its second derivatives and identifying the square of an increment in the Wiener process with an increment in time.".
- Itxc3xb4s_lemma label "Itô's lemma".
- Itxc3xb4s_lemma sameAs m.01cz34.
- Itxc3xb4s_lemma wasDerivedFrom Itxc3xb4s_lemmaoldid=681303464.
- Itxc3xb4s_lemma isPrimaryTopicOf Itxc3xb4s_lemma.