[Maxima] Applying Ito's lemma
balteo at gmail.com
Thu Jun 4 07:17:00 CDT 2009
I am relatively new to Maxima and I would like to apply Ito's lemma to ln(f)
with f defined as follows:
*df:=(r + sigma_f * sigma_g) f dt +(sigma_f ) f dz*
Here is what I tried:
(diff(g(f,t),f(t),1)*(r + sigma_f * sigma_g) + diff(g(f,t),t,2) + 1/2*
diff(g(f,t),f(t),2)*(sigma_f * f(t))^2)*dt + diff(g(f,t),f(t),1)*(sigma_f *
I don't get what I want i.e. I it does not seem to derive. What I am getting
wrong in the syntax?
Can anyone please help?
Ps. Here is the original lemma for your information:
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