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# Partila Differential Equations : Ito's Lemma

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Please see the attached file for the fully formatted problems.
Suppose that S satisfies:

dS = a(S,t)dt + b(S,t)dX

Show that for any functions g1(S,t) and g2(S,t), the following is true:

(Note: I don't know if Itô's lemma is used in the proof or if you can use some Calculus identity or rule to determine the proof.)

##### Solution Summary

PDEs and Ito's lemma are investigated. The solution is detailed and well presented. The response received a rating of "5/5" from the student who originally posted the question.

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