What is the Ito Lemma?
Posted: July 10th, 2006, 6:48 pm
Somebody gives you the following function and asks you to work out what's going on:It doesn't seem to have a derivative (anywhere) and seems to give problems with the following integral:You decide to try and work it out in a spreadsheet by dividing the interval [0,1] into 1024 equal sized subdivisions.The function is well known and is due to Bernard Riemann and Karl Weierstrass - hope you find the results interesting.This is not really a Brain Teaser - but I think it's interesting if you've played around with the Ito Lemma.