A Counterexample in Ito Integration Theory

Lars Nielsen

Papers from arXiv.org

Abstract: Ito's Lemma implies that if $W$ is a Wiener process and $f$ is a twice continuously differentiable function, then the process $f(W)$ is the sum of a time integral and an Ito integral. The Ito integrand is not necessarily locally square integrable. This note provides a counterexample.

Date: 2023-05
New Economics Papers: this item is included in nep-mfd
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