Abstract
In this chapter, we define (stochastic) Itô-integrals \($$\int_0^t {HdM} $$\) H dM for local L 2 — martingales M and a fairly large class of adapted processes H. The integral is a random variable. It will be constructed as a suitable limit of Riemann-Stieltjes type approximations like
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© 1990 Springer Fachmedien Wiesbaden
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von Weizsäcker, H., Winkler, G. (1990). The Stochastic Integral. In: Stochastic Integrals. Advanced Lectures in Mathematics. Vieweg+Teubner Verlag, Wiesbaden. https://doi.org/10.1007/978-3-663-13923-2_5
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DOI: https://doi.org/10.1007/978-3-663-13923-2_5
Publisher Name: Vieweg+Teubner Verlag, Wiesbaden
Print ISBN: 978-3-528-06310-8
Online ISBN: 978-3-663-13923-2
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