The Ito Integral
In this chapter we come to one of the main tools in the theory of stochastic differential systems - the stochastic integral named after its inventor K. Ito. The development we follow is that of Doob , After discussing what is perhaps its main feature that distinguishes it from ‘ordinary’ integrals, we show how it can be used to obtain a ‘closed-form’ expression for the Radon-Nikodym derivatives. What is more, it enables us to obtain closed forms even in cases where the approach of Chapter IV fails ((4.2a) is not valid).
KeywordsWiener Process Volterra Operator Wiener Measure Schwartz Inequality Complete Orthonormal System
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