Abstract
In this section we shall apply the Doob-Meyer Decomposition to submartingales of the form \({X}_{t}^{2}\), where X t is a square-integrable martingale with continuous sample paths. This decomposition will be essential in the construction of the stochastic integral in the next section.
Keywords
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.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Author information
Authors and Affiliations
Rights and permissions
Copyright information
© 2012 Springer-Verlag Berlin Heidelberg
About this chapter
Cite this chapter
Koralov, L., Sinai, Y.G. (2012). Stochastic Integral and the Ito Formula. In: Theory of Probability and Random Processes. Universitext. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-68829-7_20
Download citation
DOI: https://doi.org/10.1007/978-3-540-68829-7_20
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-25484-3
Online ISBN: 978-3-540-68829-7
eBook Packages: Mathematics and StatisticsMathematics and Statistics (R0)