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By definition a wiener process cannot be differentiated.

But when we use Ito's lemma on F = X^2$F = X^2$, where X is wiener process

we have total change in

dF = 2XdX + dt

$$dF = 2XdX + dt$$

How can we calculate dF/dX$\frac{dF}{dX}$ when by definition it cannot be differentiated? Isin't this contradiction by definition?

By definition a wiener process cannot be differentiated.

But when we use Ito's lemma on F = X^2, where X is wiener process

we have total change in

dF = 2XdX + dt

How can we calculate dF/dX when by definition it cannot be differentiated? Isin't this contradiction by definition?

By definition a wiener process cannot be differentiated.

But when we use Ito's lemma on $F = X^2$, where X is wiener process

we have total change in

$$dF = 2XdX + dt$$

How can we calculate $\frac{dF}{dX}$ when by definition it cannot be differentiated? Isin't this contradiction by definition?

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asked Apr 26, 2015 at 5:07

How to differentiate a brownian motion?

By definition a wiener process cannot be differentiated.

But when we use Ito's lemma on F = X^2, where X is wiener process

we have total change in

dF = 2XdX + dt

How can we calculate dF/dX when by definition it cannot be differentiated? Isin't this contradiction by definition?

stochastic wiener