Hey guys I'm looking for worked examples who show how to apply Itô's lemma in several variables, starting from the very basics. Thank you in advance!

  • 3
    $\begingroup$ From any textbook on stochastic calculus, such as that of Oksendal, you can find such examples. $\endgroup$
    – Gordon
    Jun 1, 2015 at 19:14
  • $\begingroup$ I've had a look at Oksendal, but there are worked examples only about the 1-dimensional case! $\endgroup$
    – james42
    Jun 1, 2015 at 19:36
  • $\begingroup$ See example 4.2.2, exercuise 4.6 b), and example, 8.5.8, in the 5th edition $\endgroup$
    – Gordon
    Jun 1, 2015 at 19:51
  • $\begingroup$ see Chapter 11 of my book the Concepts and Practice... $\endgroup$
    – Mark Joshi
    Jun 2, 2015 at 1:24
  • 1
    $\begingroup$ The multi-version is very similar, just that we need to take into the covariance into account. In a single-dimension, those covariances are zero. $\endgroup$
    – SmallChess
    Jun 2, 2015 at 3:13


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