Abstract
We begin this chapter with the quadratic variation and Levy’s characterization of the Brownian motion. Later, we will outline the basic development of the Ito’s Integral w.r.t. Brownian motion. We also discuss existence and uniqueness of solutions to the classical stochastic differential equations driven by Brownian motion.
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Karandikar, R.L., Rao, B.V. (2018). The Ito’s Integral. In: Introduction to Stochastic Calculus. Indian Statistical Institute Series. Springer, Singapore. https://doi.org/10.1007/978-981-10-8318-1_3
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DOI: https://doi.org/10.1007/978-981-10-8318-1_3
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Publisher Name: Springer, Singapore
Print ISBN: 978-981-10-8317-4
Online ISBN: 978-981-10-8318-1
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