Abstract
Example 3.1.9 illustrates that the basic definition of Itô integrals is not very useful when we try to evaluate a given integral. This is similar to the situation for ordinary Riemann integrals, where we do not use the basic definition but rather the fundamental theorem of calculus plus the chain rule in the explicit calculations.
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© 2003 Springer-Verlag Berlin Heidelberg
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Øksendal, B. (2003). The Itô Formula and the Martingale Representation Theorem. In: Stochastic Differential Equations. Universitext. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-14394-6_4
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DOI: https://doi.org/10.1007/978-3-642-14394-6_4
Publisher Name: Springer, Berlin, Heidelberg
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