Itô isometry
id:
it-isometry-279-1031495
title:
Itô isometry
text:
In mathematics, the Itô isometry, named after Kiyoshi Itô, is a crucial fact about Itô stochastic integrals. One of its main applications is to enable the computation of variances for random variables that are given as Itô integrals. Let W : [ 0 , T ] × Ω → R denote the canonical real-valued Wiener process defined up to time T > 0 , and let X : [ 0 , T ] × Ω → R be a stochastic process that is adapted to the natural filtration F ∗ W of the Wiener process. Then where E denotes expectation with re
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wiki
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encyclopedia
description:
original url:
https://en.wikipedia.org/wiki/It%C3%B4_isometry
date created:
date modified:
2023-10-21T08:21:22Z
main entity:
{"identifier":"Q6095356","url":"https://www.wikidata.org/entity/Q6095356"}
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fields total:
13
integrity:
13