Tuesday, 10 June 2014

intuition - 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 that for Stratonovich stochastic calculus the chain rule takes the form of the classical (Newtonian) one?



The intuition goes like this: Concerning Ito calculus the fact that dX^2 = dt results via a Taylor expansion in Ito's lemma - this fact should stay the same with Stratonovich but it should somehow cancel out in there - I just don't know how...

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