Ito process

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Revision as of 14:55, 28 December 2008 by imported>Valentin Clément (New page: 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 proces...)
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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. Those processes are the base of Stochastic Integration, and are therefore widely used in Financial Mathematics and Stochastic Calculus.