Paul
Posts:
428
Registered:
2/23/10


Re: Derivation of Ito Lemma
Posted:
Sep 30, 2012 3:29 PM


On Sep 29, 11:21 am, Dave <divergent.tser...@gmail.com> wrote: > Yeah, if it is not a real physics application you really need to read the paper. It shows that Ito calculus is orthogonal to nature when applied to finance. There is a fundamental math error in Harry Markowitz's original paper on meanvariance finance. There are three cases to solve, Markowitz solved one, the one he solved does not apply to finance. The one that applies to finance precludes Ito's lemma.
OK, thanks. I'm not quite ready to tackle the paper yet....I'm just trying to get my head around the concepts of the use of stochastic processes. And for that matter, stats.

