Itô’s Formula and its Applications

Gopinath Kallianpur and Rajeeva L. Karandikar
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Gopinath Kallianpur: University of North Carolina, Department of Statistics
Rajeeva L. Karandikar: Indian Statistical Institute, Department of Mathematics & Statistics

Chapter 2 in Introduction to Option Pricing Theory, 2000, pp 47-69 from Springer

Abstract: Abstract Itô’s formula is the change of variable formula for the stochastic integral. We will see that the usual change of variable formula does not hold for the stochastic integral.

Keywords: Brownian Motion; Heat Equation; Wiener Process; Dominate Convergence Theorem; Variable Formula (search for similar items in EconPapers)
Date: 2000
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-1-4612-0511-1_2

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DOI: 10.1007/978-1-4612-0511-1_2

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