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havardhv
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Joined: July 14th, 2002, 3:00 am

Leibniz Integral rule for stochastic variable

May 26th, 2004, 7:30 am

Trying to apply Ito's lemma to the function M below, when X is following geometric brownian motion. My question is:Can I apply Leibniz Integral rule to the partial derivative with respect to X?Leibniz Integral rule:http://mathworld.wolfram.com/Integral.html
 
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Nonius
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Leibniz Integral rule for stochastic variable

May 26th, 2004, 8:41 am

QuoteOriginally posted by: havardhvTrying to apply Ito's lemma to the function M below, when X is following geometric brownian motion. My question is:Can I apply Leibniz Integral rule to the partial derivative with respect to X?Leibniz Integral rule:http://mathworld.wolfram.com/Integral.htmldM=Xdt.or, you could apply Ito product rule to X*t and reexpress in another way.