Statements (22)
Predicate | Object |
---|---|
gptkbp:instanceOf |
gptkb:mathematical_concept
|
gptkbp:appliesTo |
gptkb:Itō_process
|
gptkbp:category |
gptkb:probability_theory
stochastic processes |
gptkbp:describes |
differential of a function of a stochastic process
|
gptkbp:field |
gptkb:stochastic_process
|
gptkbp:generalizes |
chain rule
|
gptkbp:hasComponent |
diffusion term
drift term |
https://www.w3.org/2000/01/rdf-schema#label |
Itō's lemma
|
gptkbp:languageOfOrigin |
Japanese
|
gptkbp:namedAfter |
gptkb:Kiyoshi_Itō
|
gptkbp:publishedIn |
1944
|
gptkbp:relatedTo |
gptkb:martingale
gptkb:Black–Scholes_equation gptkb:Stratonovich_integral gptkb:Feynman–Kac_formula |
gptkbp:usedIn |
mathematical finance
quantitative finance stochastic differential equations |
gptkbp:bfsParent |
gptkb:Jun'ichi_Itō
|
gptkbp:bfsLayer |
6
|