August 2014
Intermediate to advanced
424 pages
11h 25m
English
Content preview from Brownian Motion, 2nd Edition
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15 Stochastic integrals: L2-Theory
A function ƒ : [0, T] → 
is Riemann integrable if the Riemann sums
(15.1)
converge to a finite limit I. The limit is taken along all finite partitions of the interval 
, with 
and it is independent of the particular sequence and the choice of the intermediate points . The number I is called the definite Riemann integral ...
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