Mathematics, Stochastic Modelling, Quantitative Finance, Finance, Probability.
not explicitly depend on t, the lemma simplifies to: Solving Problem 1 in the set: Given the function: What we can notice firsthand is that y does not depend on time, that means one less derivative to calculate : First Partial Derivative with respect to 𝑊𝑡 : 2. Second Partial Derivative with