The Ito Integral

  • A. V. Balakrishnan
Part of the Lecture Notes in Economics and Mathematical Systems book series (LNE, volume 84)


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 [2], 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).


Wiener Process Volterra Operator Wiener Measure Schwartz Inequality Complete Orthonormal System 
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Copyright information

© Springer-Verlag Berlin · Heidelberg 1973

Authors and Affiliations

  • A. V. Balakrishnan
    • 1
  1. 1.System Science Department, School of Engineering and Applied SciencesUniversity of CaliforniaLos AngelesUSA

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