Question: Prove the last convergence.
As an example of the Wong-Zakai correction, we calculate the integral I = R b a w(s) dwS(s). The function f(x, t) in this case is f(x, t) = x, so that fx(x, t) = 1. Converting from the Stratonovich to the Itô integral according to the Wong-Zakai formula eq. (3.22) and using the previously derived result, we obtain
as in the ordinary integral calculus! This is not a fluke, actually, we have
