0
$\begingroup$

Ito's lemma is used to find the stochastic process of the function of a Geometric Brownian process.

My question, is there any limitation of the kind of function that can be considered for correctly using the Ito's lemma, apart from just being continuous everywhere within the domain of the function?

Any insight will be highly helpful

Improve this question
$\endgroup$
  • $\begingroup$ The answer there is much better than mine. $\endgroup$ – Bob Jansen♦ Jul 22 '20 at 17:19
0
$\begingroup$

It also needs to be twice differentiable.

Improve this answer
$\endgroup$

Not the answer you're looking for? Browse other questions tagged or ask your own question.