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Itô Stochastic Integral is a Local Martingale

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Theorem
StochasticDiffs

Theorem

Let MM be a continuous local martingale. Let XX be a continuous adapted process (i.e. predictable). Then the Itô Stochastic Integral process (1[0,t]XdM)t0\left( \int\limits \mathbb{1}_{[0,t]}X \, dM \right)_{t\ge 0}is defined and is a continuous local martingale.