Ito process: Difference between revisions
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An Ito Process is a type of stochastic process described by Japanese mathematician Kiyoshi Ito, which can be written as the sum of the integral of a process over time and of another process over a [[Brownian Motion]]. | An Ito Process is a type of stochastic process described by Japanese mathematician Kiyoshi Ito, which can be written as the sum of the integral of a process over time and of another process over a [[Brownian Motion]]. | ||
Those processes are the base of [[Stochastic Integration]], and are therefore widely used in [[Financial Mathematics]] and [[Stochastic Calculus]]. | Those processes are the base of [[Stochastic Integration]], and are therefore widely used in [[Financial Mathematics]] and [[Stochastic Calculus]]. | ||
== Description of the Ito Processes == | |||
Let <math>(\Omega, F, \mathbb{F}, \mathbb{P})</math> be a probability space with a filtration <math>\mathbb{F}</math> that we consider as complete. | |||
Revision as of 15:01, 28 December 2008
An Ito Process is a type of stochastic process described by Japanese mathematician Kiyoshi Ito, which can be written as the sum of the integral of a process over time and of another process over a Brownian Motion.
Those processes are the base of Stochastic Integration, and are therefore widely used in Financial Mathematics and Stochastic Calculus.
Description of the Ito Processes
Let be a probability space with a filtration that we consider as complete.
