A Counterexample in Ito Integration Theory
Probability
2023-05-19 v1 Mathematical Finance
Abstract
Ito's Lemma implies that if is a Wiener process and is a twice continuously differentiable function, then the process is the sum of a time integral and an Ito integral. The Ito integrand is not necessarily locally square integrable. This note provides a counterexample.
Keywords
Cite
@article{arxiv.2305.10695,
title = {A Counterexample in Ito Integration Theory},
author = {Lars Tyge Nielsen},
journal= {arXiv preprint arXiv:2305.10695},
year = {2023}
}