Characterization of the Ito Integral
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Publication:6311563
arXiv1812.09637MaRDI QIDQ6311563FDOQ6311563
Authors: Lars Tyge Nielsen 
Publication date: 22 December 2018
Abstract: This paper provides an existence-and-uniqueness theorem characterizing the stochastic integral with respect to a Wiener process. The integral is represented as a mapping from the space of measurable and adapted pathwise locally integrable processes to the space of continuous adapted processes. It is characterized in terms of two properties: (1) how the stochastic integrals of simple processes are calculated and (2) how these integrals converge in probability when the time integrals of the squared integrands converge in probability.
Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01) General theory of stochastic processes (60G07) Foundations of stochastic processes (60G05)
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