We want to be able to convert between Stratonovich Calculus and Ito Calculus. We differentiate the two following our global Notation choices.
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We want to be able to convert between Stratonovich Calculus and Ito Calculus. We differentiate the two following our global Notation choices.
ItodX=Fdt+GdWdX=(F+21∂x∂GG)dt+GdW⇔⇒⇐Stratonovich(F−21∂x∂GG)dt+G∘dWdX=Fdt+G∘dW