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.