[Maxima] Applying Ito's lemma
willisb at unk.edu
Thu Jun 4 08:05:08 CDT 2009
When I tried your calculation, I got
What is wrong with (%o18)? In general, derivatives with respect to
(for example, diff(g(f,t),f(t),1)) might not work, but it seems to be OK
-----maxima-bounces at math.utexas.edu wrote: -----
>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?
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