Stratonovich integral

Summary

The Stratonovich integral $\int Y \circ dX$ is a stochastic integral. It evaluates the integrand at the midpoint of each time step, not at the left end. It differs from the Itô integral by half the quadratic covariation of $Y$ and $X$. With this integral the ordinary chain rule of calculus holds, which makes it natural in physics and in stochastic differential geometry.