Construct · 1 fields · 1 citations

Itô integral: a standalone construct

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Probability theory

integral of a random process with respect to Brownian motion, defined with left-endpoint evaluation so that the result is a martingale.

In probability theory, Itô integral refers to integral of a random process with respect to Brownian motion, defined with left-endpoint evaluation so that the result is a martingale. This meaning comes from Itô (1944) in Proceedings of the Japan Academy, Series A, Mathematical Sciences.[1]

Unit
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Measured by

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Nearby constructs

Brownian motion1 fields · 4 citationsanchor · a standalone construct integral3 fields · 4 citationsjingle · one word, three constructs martingale1 fields · 3 citationsanchor · a standalone construct

References

Itô, K. (1944). Stochastic integral. Proceedings of the Japan Academy, Series A, Mathematical Sciences, 20(8). https://doi.org/10.3792/pia/1195572786

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