Abstract
We assume that the reader is already familiar with the basic motivations and notions of probability theory. In this chapter we recall the main mathematical concepts, methods, and theorems according to the Kolmogorov approach Kolmogorov (1956) by using as main references the books by Métivier (1968) and Neveu (1965). An interesting introduction can be found in Gnedenko (1963). We shall refer to Appendix A of this book for the required theory on measure and integration.
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Capasso, V., Bakstein, D. (2015). The Itô Integral. In: An Introduction to Continuous-Time Stochastic Processes. Modeling and Simulation in Science, Engineering and Technology. Birkhäuser, New York, NY. https://doi.org/10.1007/978-1-4939-2757-9_3
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