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A stochastic process is a collection of random variables usually indexed by a totally ordered set.

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Generalized Ito's formula

One can also use the Alexandrov-Bakelman-Pucci-Krylov-Tso estimates from parabolic PDE to show that Ito's Lemma holds for functions in $W^{2,p}$ when $X$ is a diffusion with uniformly positive definit …
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