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In this chapter we study multidimensional Itô calculus. Increments of stochastic processes defined by correlated Brownian motions are themselves correlated, and the multidimensional Itô’s lemma describes the amount of correlations of infinitesimal increments.

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Multidimensional Itô Calculus

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  • 发表日期：

    2026年

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  • Geon Ho Choe

摘要

In this chapter we study multidimensional Itô calculus. Increments of stochastic processes defined by correlated Brownian motions are themselves correlated, and the multidimensional Itô’s lemma describes the amount of correlations of infinitesimal increments.