Japanese Journal of Mathematics

, Volume 2, Issue 1, pp 137–143

How K. Itô revolutionized the study of stochastic processes

Special Feature: Award of the 1st Gauss Prize to K. Ito

DOI: 10.1007/s11537-007-0713-4

Cite this article as:
Yor, M. Jpn. J. Math. (2007) 2: 137. doi:10.1007/s11537-007-0713-4
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Abstract.

The main facts of K. Itô’s stochastic integration as well as excursion theory are presented, together with a number of applications.

Keywords and phrases:

stochastic calculus excursion theory enlargement of filtration 

Mathematics Subject Classification (2000):

60G07 60G44 60G51 60H05 60J65 

Copyright information

© The Mathematical Society of Japan and Springer 2007

Authors and Affiliations

  1. 1.Laboratoire de Probabilités et Modèles AléatoiresUniversités Paris VI et VIIParis Cedex 05France
  2. 2.Institut Universitaire de FranceParisFrance

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