- Mathematics
- Published 2018

# Characterization of the Ito Integral

@inproceedings{Nielsen2018CharacterizationOT, title={Characterization of the Ito Integral}, author={Lars Tyge Nielsen}, year={2018} }

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… CONTINUE READING