Concepedia

Itô Integral

The Itô Integral is a stochastic integral that extends the concept of integration to stochastic processes by defining the integral of a predictable process with respect to a Brownian motion, distinguished by its reliance on the left endpoint of each subinterval in the limiting sum to ensure the resulting integral is a martingale.

496

Publications

36.4K

Citations

617

Authors

381

Institutions

Publications per year

2017–2026

62

Variants

Itô Stochastic Integral

Parents

Publications

496

Stochastic Differential Equations: An Introduction with Applications.

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

, , +17

Martingales and stochastic integrals in the theory of continuous trading

J. Michael Harrison, Stanley R. Pliska · Stochastic Processes and their Applications · 1981 · 2.9K citations

, , +14

Brownian motion and stochastic calculus

Jan Seidler · Acta Applicandae Mathematicae · 1991 · 2.2K citations

, , +14

Quantum Ito's formula and stochastic evolutions

R. L. Hudson, K. R. Parthasarathy · Communications in Mathematical Physics · 1984 · 1.2K citations

, , +14

On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures

Igor Vladimirovich Girsanov · Theory of Probability and Its Applications · 1960 · 732 citations

, , +14

1–5 of 496

Authors

617

  1. DF
    Dmitriy F. Kuznetsov

    Peter the Great St. Petersburg Polytechnic University, Russia

    19 publications · 387 citations

    15

    h-index

  2. MZ
    Moshe Zakai

    Technion – Israel Institute of Technology, Israel

    7 publications · 241 citations

    7

    h-index

  3. MS
    Murad S. Taqqu

    Boston University, United States

    7 publications · 697 citations

    7

    h-index

  4. FR
    Francesco Russo

    École Nationale Supérieure de Techniques Avancées, France

    7 publications · 233 citations

    7

    h-index

  5. DN
    David Nualart

    Universitat de Barcelona, Spain

    6 publications · 524 citations

    7

    h-index

1–5 of 617

Institutions

381

  1. Sorbonne Université

    Paris, France

    12 h-index

    15 publications

    948 citations

  2. Laboratoire de Probabilités et Modèles Aléatoires

    Paris, France

    11 h-index

    11 publications

    721 citations

  3. Centre National de la Recherche Scientifique

    Paris, France

    10 h-index

    13 publications

    483 citations

  4. Universitat de Barcelona

    Barcelona, Spain

    9 h-index

    14 publications

    1.2K citations

  5. Université Paris Cité

    Paris, France

    9 h-index

    12 publications

    453 citations

  6. Mathematical Institute of the Slovak Academy of Sciences

    Bratislava, Slovakia

    7 h-index

    7 publications

    2.7K citations

  7. Université de Lorraine

    Nancy, France

    7 h-index

    12 publications

    790 citations

  8. Institut Élie Cartan de Lorraine

    Vandœuvre-lès-Nancy, France

    7 h-index

    12 publications

    753 citations

1–8 of 381

Venues

  1. The Annals of Probability

    30 publications · 2K citations

    24

    h-index

  2. Stochastic Processes and their Applications

    27 publications · 4.2K citations

    18

    h-index

  3. Probability Theory and Related Fields

    18 publications · 2.2K citations

    15

    h-index

  4. arXiv (Cornell University)

    Repository · 21 publications · 386 citations

    14

    h-index

  5. 11

    h-index

1–5