Ito process: Difference between revisions
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imported>Valentin Clément |
imported>Valentin Clément |
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=== Stability of the Ito Processes Set === | === Stability of the Ito Processes Set === | ||
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This exceptional stability is one of the reasons of the wide use of Ito Processes. The other reason is the [[Ito Formula]]. | This exceptional stability is one of the reasons of the wide use of Ito Processes. The other reason is the [[Ito Formula]]. | ||
Revision as of 15:42, 28 December 2008
Stability of the Ito Processes Set
- Stability over addition
- The sum of two Ito Processes is obviously another Ito Process
- Stability over Integration
- . Which means that any Ito Process can be integrated with respect to any other Ito Process. Moreover, the Stochastic Integral with respect to an Ito Process is still an Ito Process.
This exceptional stability is one of the reasons of the wide use of Ito Processes. The other reason is the Ito Formula.