书上一道例题(原题和答案点击下面链接)，有一点没搞清楚。就是对于要evaluate的函数: Y(t)=e^( W(t) ). 就这个Y(t)对t求偏导的话 (note: W(t) ~ wiener process)，书上为啥直接认为等于0啊？而我理解是 because Y(t)=e^ ( W(t) ), so d[Y(t) ]/dt=Y'( W(t) ) * d(W(t))/dt, but we also know from stochastic calculus that d(W(t))/dt does not exist! Therefore I am not sure how to proceed? But why the book just indicates that d(Y(t))/dt=0?
thank you!
question and answer click below link:
https://www.dropbox.com/scl/fi/ulwgyy9azfk72vujqps3v/ito-lemma.png?rlkey=9flu5nytaxzdptab9rx8c2iwc&st=gqzr3r8v&dl=0
