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).
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