Show that Remark 22.5.a) remains valid if we replace (f(x)) by (f(s, x)). 22.5 Remark. a) The

Show that Remark 22.5.a) remains valid if we replace \(f(x)\) by \(f(s, x)\).

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22.5 Remark. a) The Stratonovich integral satisfies the classical chain rule. Indeed, if fe e(R) and dX = (t) dB + b(t) dt is an It process, we get (18.13) df(x+) f'(x+) dx++ " (X+) (dx+) = = f'(x)o(t) dB +f'(x)b(t) dt +f" (X)o(t) dt (227) f'(x)o(t) dB + f'(x)b(t) dt = f'(xt) odXt,