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I start learning stochastic calculus and always come across this 2 notations $\ dW_t^2 , dt^2 $

Does $\ dW_t^2$ mean $\ d(W_t)^2 $ or $\ (dW_t)^2 $ ?

Similarly, does $\ dt^2$ means $\ d(t^2)$ or $\ (dt)^2$?

Thanks.

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  • $\begingroup$ check about quadratic variations, that shall help. $\endgroup$ – Math-fun Feb 14 at 9:23
  • $\begingroup$ $dW_t^2 = (dW_t)^2$ and $dt^2 = (dt)^2$. See also this question, this question and this question $\endgroup$ – saz Feb 14 at 9:49

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