Abstract
One of the most important results in the theory of stochastic integrals is the rule for change of variables known as the Itô formula, after Itô who first proved it for the special case of integration with respect to Brownian motion. The essential aspects of Itô’s formula are conveyed by the following.
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© 1983 Springer Science+Business Media New York
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Chung, K.L., Williams, R.J. (1983). The Ito Formula. In: Introduction to Stochastic Integration. Progress in Probability and Statistics, vol 4. Birkhäuser, Boston, MA. https://doi.org/10.1007/978-1-4757-9174-7_5
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DOI: https://doi.org/10.1007/978-1-4757-9174-7_5
Publisher Name: Birkhäuser, Boston, MA
Print ISBN: 978-0-8176-3117-8
Online ISBN: 978-1-4757-9174-7
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