Let a a,b be the C1 function such that and In other words, fa,b is the function whose second derivative is 1[a,b], except that the second derivative is not defined at a and b. Show Ito’s formula...

Let a <>_a,b
be the C₁
function such that

and

In other words, f_a,b
is the function whose second derivative is 1_[a,b], except that the second derivative is not defined at a and b. Show Ito’s formula holds for fa,b:

Chapter 11