I have been told that Ito's lemma serves as the stochastic calculus counterpart of the chain rule. And yet again my tutor mentioned it is not used for all stochastic processes.

Is this statement true?

If so what are the conditions in which Ito's lemma is used?

  • $\begingroup$ This is a site for professional quants. Concerning this question: Wikipedia is your friend. $\endgroup$ – vonjd Sep 18 '14 at 9:57
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    $\begingroup$ @vonjd Are you sure? "Basically, your question must be one that someone who is earning a living at this, or is studying this specifically in graduate school would confront in the course of their job or studies." $\endgroup$ – BCLC Sep 18 '14 at 10:16
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    $\begingroup$ If your tutor is a tutor of stochastic analysis, then he should teach it as a whole. Basically Ito's lemma is used for processes that can be described as solutions to SDE's (stochastic differential equaions). There is a version for jump processes too. $\endgroup$ – Ric Sep 18 '14 at 13:41

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