Could someone provide rigorous proof of Ito formula for time dependent function $f(t,x)\in C^{1,2}$ ? I can find some proofs in the books but they are for functions of the form $f(x)$ of $f(t,B_t)$, but not for $f(t,X_t)$, where $X_t$ is Ito process.
2026-05-05 19:52:59.1778010779
(reference request) Rigorous proof of Ito formula for time dependent function .
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