6533b7d4fe1ef96bd1261c97

RESEARCH PRODUCT

The Itô Integral

Achim Klenke

subject

Stratonovich integralDirichlet problemSection (fiber bundle)Mathematics::ProbabilityStochastic processMathematical analysisLocal martingaleChain ruleDiffusion (business)Brownian motionMathematics

description

The Ito integral allows us to integrate stochastic processes with respect to the increments of a Brownian motion or a somewhat more general stochastic process. We develop the Ito integral first for Brownian motion and then for generalized diffusion processes (so called Ito processes). In the third section, we derive the celebrated Ito formula. This is the chain rule for the Ito integral that enables us to do explicit calculations with the Ito integral. In the fourth section, we use the Ito formula to obtain a stochastic solution of the classical Dirichlet problem. This in turn is used in the fifth section in order to show that like symmetric simple random walk, Brownian motion is recurrent in low dimensions and transient in high dimensions.

yearjournalcountryeditionlanguage
2014-01-01
https://doi.org/10.1007/978-1-4471-5361-0_25