Characterization of the Ito Integral

Lars Nielsen

Papers from arXiv.org

Abstract: This paper provides an existence-and-uniqueness theorem characterizing the stochastic integral with respect to a Wiener process. The integral is represented as a mapping from the space of measurable and adapted pathwise locally integrable processes to the space of continuous adapted processes. It is characterized in terms of two properties: (1) how the stochastic integrals of simple processes are calculated and (2) how these integrals converge in probability when the time integrals of the squared integrands converge in probability.

Date: 2018-12
New Economics Papers: this item is included in nep-mic
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