Ito Integrals

Uwe Hassler

Chapter 10 in Stochastic Processes and Calculus, 2016, pp 213-237 from Springer

Abstract: Abstract Kiyoshi Ito (1915–2008) was awarded the inaugural Gauss Prize by the International Mathematical Union in 2006. Stochastic integration in the narrow sense can be traced back to his early work published in Japanese in the forties of the last century. We precede the general definition of the Ito integral with a special case. Concluding, we discuss the (quadratic) variation of a process without which a sound understanding of Ito’s lemma will not be possible.

Keywords: Stochastic Integral; Sound Understanding; Quadratic Variation; Finite Variance; Wiener Process (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sptchp:978-3-319-23428-1_10

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DOI: 10.1007/978-3-319-23428-1_10

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