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The Ito Formula

  • K. L. Chung
  • R. J. Williams
Part of the Progress in Probability and Statistics book series (PRPR, volume 4)

Abstract

One of the most important results in the theory of stochastic integrals is the rule for change of variables known as the Itô formula, after Itô who first proved it for the special case of integration with respect to Brownian motion. The essential aspects of Itô’s formula are conveyed by the following.

Keywords

Brownian Motion Continuous Process Bounded Variation Stochastic Integral Mutual Variation 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer Science+Business Media New York 1983

Authors and Affiliations

  • K. L. Chung
    • 1
  • R. J. Williams
    • 1
  1. 1.Department of MathematicsStanford UniversityStanfordUSA

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