2
votes
1answer
601 views

Taylor expansion to show that for Stratonovich stochastic calculus the chain rule takes the form of the classical one

As nobody seems to be able to give any kind of answer to that problem over there at math.stackexchange I post this question here: How can I show with a heuristic argument based on a Taylor expansion ...
15
votes
4answers
4k 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 ...