TITLE: Does there exist a stochastic time derivative?
QUESTION [6 upvotes]: The Setup
Suppose I have a stochastic process $f(Z_t)$ where $Z_t$ solve the $d$-dimensional SDE
$$
dZ_t = \mu(t,Z_t)dt + \sigma(t,Z_t)dW_t
$$
and $f$ is a smooth function.

My Question
Is there a notion of time-derivative "$d_t$" of the process $f(Z_t)$ which satisfies: 

Some sort of chain rule like $$
d_tf(Z_t) = \partial_t f(Z_t)  d_t(Z_t),
$$
where $\partial_t$ is the usual derivative wrt $t$.
If $Z_t$ is deterministic (ie: $\sigma(t,Z_t)=0$) and $\mu(t,z)$ is $C^1$ in $t$ then $$d_t=\partial_t,$$ ie: $d_t$ reduces to the usual derivative when $f(Z_t)$ is a smooth function of $t$.

REPLY [5 votes]: I think the chain rule $d[f(Z_t)]=f'(Z_t)\circ dZ_t$ is valid when the product $\circ$ is defined as in Stratonovich stochastic integral (while the SDE uses Ito's). Note that $g(Z_t)\circ dt$ doesn't differ from the ordinary product $g(Z_t)\ dt$, but $g(W_t)\circ dW_t$ is Ito's $g(W_t)\ dW_t$ plus $\frac12 g'(W_t)\ dt$.