Ito Calculus
Overview
The Ito Calculus gives meaning to the Ito Integral
{% \int dX(t,W(t)) = \int u(t) dt + \sigma(t) dW(t) %}
which is often just abbreviated as
{% dX(t,W(t)) = u(t) dt + \sigma(t) dW(t) %}
Definitions
The definition and analysis of stochastic integrals requires the use of
measure theory.
However, it is possible to formulate them intuitively.
Relevant Theorems
