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Stochastic Integrals and the Ito Formula

  • Bernt Øksendal
Chapter
  • 410 Downloads
Part of the Universitext book series (UTX)

Abstract

Example 3.6 illustrates that the basic definition of Ito 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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Copyright information

© Springer-Verlag Berlin Heidelberg 1989

Authors and Affiliations

  • Bernt Øksendal
    • 1
  1. 1.Department of MathematicsUniversity of OsloBlindern, Oslo 3Norway

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