15
votes
3answers
3k views

Intuition and/or visualisation of Ito integral/Ito's lemma

Riemann-sums can e.g. be very intuitively visualized by rectangles that approximate the area under the curve. See e.g. Wikipedia:Riemann sum The Ito integral has due to the unbounded total variation ...
6
votes
1answer
2k views

Big picture concerning Ito integral, Stratonovich integral and standard results in probability theory

I am confused and don't get the big picture concerning the connection between Ito integral Stratonovich integral Standard results in probability theory concerning skewed distributions. Example: ...
11
votes
1answer
864 views

Big Picture: What is the connection of Malliavin calculus with differential geometry?

I know that Paul Malliavin was heavily influenced by ideas from differential geometry while developing his calculus on Wiener space. But what are the concrete analogies between both areas of ...