Localization and Itô’s Integral

  • J. Michael Steele
Part of the Applications of Mathematics book series (SMAP, volume 45)


If f: ℝ → ℝ is a continuous function, then any truly convenient theory of stochastic integration should have no trouble with the definition of the integral
$$\int\limits_0^T {f({B_t})d{B_t}}$$


Brownian Motion Gaussian Process Dominate Convergence Theorem Standard Brownian Motion Local 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.


Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

Copyright information

© Springer-Verlag New York, Inc. 2001

Authors and Affiliations

  • J. Michael Steele
    • 1
  1. 1.The Wharton School, Department of StatisticsUniversity of PennsylvaniaPhiladelphiaUSA

Personalised recommendations