[Math] the meaning of $\sum_{i,j = 1}^n$

notationsummation

In the multi-dimensional Ito formula, this notation pops up:$$\sum_{i,j = 1}^n$$
What does that even mean? Do we take $i = 1$, then $j = 1, ….,n$, then $i =2$ and $j = 1,…,n$, and so on? Or do we take both $i$ and $j$ equal to 1, and then both $i$ and $j$ equal to 2, and so on? If it is the latter, then why don't they just write $\sum_{k=1}^n$, and then everywhere inside the summation, exchange both $j$ and $i$ for $k$? If it is the former, then surely the double summation notation makes the point clearer and is also better suited for calculation (i.e, if you want to take a constant in the inner sum out into the outer).

Best Answer

It has the following meaning $$\sum_{i,j=1}^n=\sum_{i=1}^n\sum_{j=1}^n=\sum_{j=1}^n\sum_{i=1}^n$$ Since the sums are finite, the order of summation does not matter. This notation is convenient because it takes up less space than writing it out.

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