• Mathematics
  • Published 2018

Characterization of the Ito Integral

  title={Characterization of the Ito Integral},
  author={Lars Tyge Nielsen},
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