Abstract
Itô’s formula is the most important tool in the theory of stochastic integration. It plays the counterpart of the fundamental theorem of classical calculus or rather its application to change of variables. It differs notably from the latter due to presence of quadratic variation.
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© 1990 Springer Fachmedien Wiesbaden
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von Weizsäcker, H., Winkler, G. (1990). Ito-Calculus. In: Stochastic Integrals. Advanced Lectures in Mathematics. Vieweg+Teubner Verlag, Wiesbaden. https://doi.org/10.1007/978-3-663-13923-2_8
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DOI: https://doi.org/10.1007/978-3-663-13923-2_8
Publisher Name: Vieweg+Teubner Verlag, Wiesbaden
Print ISBN: 978-3-528-06310-8
Online ISBN: 978-3-663-13923-2
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