The Ito Formula

  • K. L. Chung
  • R. J. Williams
Chapter
Part of the Modern Birkhäuser Classics book series (MBC)

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.

Keywords

Covariance 

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Copyright information

© Springer Science+Business Media New York 2014

Authors and Affiliations

  • K. L. Chung
    • 1
  • R. J. Williams
    • 2
  1. 1.Department of MathematicsStanford UniversityStanfordUSA
  2. 2.Department of MathematicsUniversity of California at San DiegoLa JollaUSA

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