Ito Lemma Variants

This lecture covers the Ito Lemma and its variants, focusing on the first and second versions. It explains the conditions under which the lemma holds and provides detailed proofs for each variant. The lecture also delves into the concept of localization and its application in the context of Ito's Lemma. The instructor demonstrates how to apply the lemma to functions in C2 and Mb processes with unit variance. The lecture concludes with a discussion on the standard proof techniques used in the context of Ito's Lemma.