Advertisement

The Ito’s Integral

Chapter
  • 2k Downloads
Part of the Indian Statistical Institute Series book series (INSIS)

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.

Keywords

Real-valued Brownian Motion Quadratic Variation Evolutionary Basis Stochastic Differential Equations Wiener Martingale 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

Copyright information

© Springer Nature Singapore Pte Ltd. 2018

Authors and Affiliations

  1. 1.Chennai Mathematical InstituteSiruseriIndia

Personalised recommendations