August 2014
Intermediate to advanced
424 pages
11h 25m
English
Content preview from Brownian Motion, 2nd Edition
16 Stochastic integrals: beyond
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16 Stochastic integrals: beyond 
Let (Bt)t≥0 be a one-dimensional Brownian motion and 
an admissible, right-continuous complete filtration, e. g. 
, cf. Theorem 6.21. We have seen in Chapter 15 that the Itô integral 
exists for all integrands 
, i. e. ...
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