Stochastic Integral¶
Itô, K. (1944). Stochastic Integral. Proceedings of the Imperial Academy, 519-524.
Cited by¶
1 citation across 1 artifact.
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Domain-specific¶
- Itô's formula
- Itô's original construction defines an integral from pre-increment values and works a transformed Brownian-function calculation with a second-derivative correction.
This source(2.1) for pre-increment integration and §4 for a transformed Brownian-function correction.
- Itô's original construction defines an integral from pre-increment values and works a transformed Brownian-function calculation with a second-derivative correction.
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