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20122026
most citedOn the Noisy Gradient Descent that Generalizes as SGD

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math.PR2016

Itô's formula, the stochastic exponential and change of measure on general time scales

Wenqing Hu

We provide an Itô's formula for stochastic dynamical equation on general time scales. Based on this Itô's formula we give a closed form expression for stochastic exponential on gen…