Stochastic time derivative
Definition:
$$
\frac{dx}{dt} = \eta(t),
$$
where \(\eta(t)\) satisfies
$$
\langle \eta(t)\eta(t')\rangle = \sigma^2 \delta(t-t').
$$
We want to know \(\langle dx^2\rangle\) over an infinitesimal time interval
\(dt\).
To calculate this, we further divide \(dt\) into \(N\) equal parts, where
\(N\) is a large number. We have
$$
dx = \left[\eta(dt/N) + \eta(2dt/N) + \cdots + \eta(dt)\right] \frac{dt}{N}.
$$
We assume the \(\eta\)s in the bracket are independent and identically
distributed. This gives
$$
\langle dx^2\rangle
= \left[\eta^2(dt/N) + \eta^2(2dt/N) +
\cdots + \eta^2(dt)\right] \left(\frac{dt}{N}\right)^2 \\
= N \frac{\sigma^2}{dt/N} \left(\frac{dt}{N}\right)^2
= \sigma^2 dt.
$$
Here we have used
$$
\eta^2(dt/N) \approx \frac{\sigma^2} {dt/N}.
$$
We could have assumed \(\eta^2 dt = \sigma^2\) from the beginning, but the
mental image is a bit different. In \(\eta^2 dt\), we imagine \(dt\) is
still somehow "large", although it is an infinitesimal, while for \(dt/N\),
we assume it is an unsplittable "atomic" time interval, within which \(\eta\)
is constant (not fluctuating). Namely, we were somehow choosing \(N\) such
that \(dt/N\) equals exactly the "natural" "atomic" time. In reality, the
"atomic" time may be the shortest time a system variable can change its
value. This is reasonable, because we can't imagine something really happens
within an infinitely small amount of time. Everything takes a nonzero amount
of time to happen.
And we have seen that discretization makes things solid and clear.