15 Stochastic integrals: L2-Theory

A function ƒ : [0, T] → e9783110307290_i3215.jpg is Riemann integrable if the Riemann sums



converge to a finite limit I. The limit is taken along all finite partitions of the interval e9783110307290_i3217.jpg, with e9783110307290_i3218.jpgand it is independent of the particular sequence and the choice of the intermediate points . The number I is called the definite Riemann integral ...

Get Brownian Motion, 2nd Edition now with the O’Reilly learning platform.

O’Reilly members experience books, live events, courses curated by job role, and more from O’Reilly and nearly 200 top publishers.