Probability theory and stochastic processes Stochastic analysis Concept
Itô calculus
Summary
Itô calculus is the calculus of integrals with respect to Brownian motion and, more generally, semimartingales. Its central object is the Itô integral of an adapted process . Its chain rule is Itô's lemma, which has an extra second-order term coming from the quadratic variation of the path. It is the language of stochastic differential equations and of continuous-time models in finance and physics.
Where this leads
17 pages build on this one.
- Kolmogorov backward equation
- Martingale representation theorem
- Itô's lemma
- Stochastic Volterra equation
- Itô isometry
- Stratonovich integral
- Rough path
- Milstein method
- Malliavin calculus
- Tanaka's formula
- Diffusion process
- Runge–Kutta method for stochastic differential equations
- Itô calculus
- Doléans-Dade exponential
- Feynman–Kac formula
- Stochastic differential equation
- Girsanov theorem
Further reading
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| Tag | JA95NH206E |
|---|---|
| URI | m2://JA95NH206E |
| Kind | concept |
| Writing | W0 stub |
| MSC | 60H05, 60H10 |
| Same as |
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Used by
- Martingale representation theorem
- Itô's lemma
- Stochastic Volterra equation
- Itô isometry
- Stratonovich integral
- Rough path
- Malliavin calculus
- Tanaka's formula
- Doléans-Dade exponential
- Stochastic differential equation
- Girsanov theorem