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Answer by Tau for Equivalence of Itō and Stratonovich equations and how we...
See the Proposition 2.21 of the book "Brownian Motion and Stochastic Calculus" by Ioannis Karatzas, Steven Shreve (Page 295).
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Remark: I've asked this question on MSE as well.Let$T>0$$I:=[0,T]$$(\Omega,\mathcal A,\operatorname P)$ be a probability space$(\mathcal F_t)_{t\in I}$ be a complete and right-continuous filtration...
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