Concepedia

Itô Calculus

Itô Calculus is a mathematical framework within stochastic analysis that extends classical calculus to handle stochastic processes by defining a unique differentiation and integration theory for functions of stochastic processes, particularly those driven by Brownian motion, through the use of non-anticipating integrands and a quadratic variation term.

935

Publications

64K

Citations

1.2K

Authors

626

Institutions

Publications per year

2017–2026

138

Variants

Itô's Calculus

Parents

Publications

935

Stochastic Differential Equations: An Introduction with Applications.

Saul Jacka, Bernt Øksendal · Journal of the American Statistical Association · 1987 · 4.1K citations

, , +17

A calculus of mobile processes, I

Robin Milner, Joachim Parrow, David Walker · Information and Computation · 1992 · 2.8K citations · Full text

, , +10

Stochastic differential equations and applications

Gian‐Carlo Rota · Advances in Mathematics · 1977 · 1.2K citations

, , +11

Brownian Motion and Stochastic Flow Systems.

J. F. C. Kingmán, J. Michael Harrison · Journal of the Royal Statistical Society Series D (The Statistician) · 1987 · 1.1K citations

, , +15

On stochastic differential equations

Kiyosi Itô · Memoirs of the American Mathematical Society · 1951 · 787 citations

, , +12

1–5 of 935

Authors

1.2K

  1. FR
    Francesco Russo

    École Nationale Supérieure de Techniques Avancées, France

    16 publications · 578 citations

    13

    h-index

  2. WW
    Wael W. Mohammed

    Mansoura University, Egypt

    13 publications · 579 citations

    12

    h-index

  3. BØ
    Bernt Øksendal

    University of Oslo, Norway

    13 publications · 5.3K citations

    11

    h-index

  4. DF
    Dmitriy F. Kuznetsov

    Peter the Great St. Petersburg Polytechnic University, Russia

    13 publications · 259 citations

    11

    h-index

  5. DN
    David Nualart

    Universitat de Barcelona, Spain

    10 publications · 728 citations

    10

    h-index

1–5 of 1.2K

Institutions

626

  1. Laboratoire de Probabilités et Modèles Aléatoires

    Paris, France

    16 h-index

    18 publications

    998 citations

  2. Sorbonne Université

    Paris, France

    16 h-index

    23 publications

    1.2K citations

  3. Mansoura University

    Al Mansurah, Egypt

    13 h-index

    22 publications

    1K citations

  4. Universitat de Barcelona

    Barcelona, Spain

    13 h-index

    19 publications

    1.5K citations

  5. Centre National de la Recherche Scientifique

    Paris, France

    12 h-index

    19 publications

    592 citations

  6. University of Ha'il

    Ha'il, Saudi Arabia

    12 h-index

    21 publications

    1K citations

  7. University of Edinburgh

    Edinburgh, United Kingdom

    11 h-index

    14 publications

    3.8K citations

  8. Shandong University

    Jinan, China

    11 h-index

    15 publications

    900 citations

1–8 of 626

Venues

  1. The Annals of Probability

    50 publications · 3.8K citations

    31

    h-index

  2. Stochastic Processes and their Applications

    41 publications · 2.8K citations

    24

    h-index

  3. Probability Theory and Related Fields

    19 publications · 1.5K citations

    17

    h-index

  4. Journal of Functional Analysis

    20 publications · 725 citations

    17

    h-index

  5. Stochastic Analysis and Applications

    29 publications · 1.1K citations

    17

    h-index

1–5