Difference in discretization
- Ito integral uses left endpoints.
- Stratonovich integral uses midpoints.
Main contrast
Ito integration keeps the martingale property, while Stratonovich integration preserves the ordinary chain rule.
Comparison
| Feature | Ito | Stratonovich |
|---|---|---|
| Evaluation point | Left endpoint | Midpoint |
| Martingale structure | Preserved | Not preserved in general |
| Chain rule | Includes correction term | Classical form |
| Used in this course | Yes | No |