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A Counterexample in Ito Integration Theory

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  • Lars Tyge Nielsen

Abstract

Ito's Lemma implies that if $W$ is a Wiener process and $f$ is a twice continuously differentiable function, then the process $f(W)$ 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.

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  • Lars Tyge Nielsen, 2023. "A Counterexample in Ito Integration Theory," Papers 2305.10695, arXiv.org.
    • Handle: RePEc:arx:papers:2305.10695
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    References listed on IDEAS

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    1. Etheridge,Alison, 2002. "A Course in Financial Calculus," Cambridge Books, Cambridge University Press, number 9780521890779.
    2. Etheridge,Alison, 2002. "A Course in Financial Calculus," Cambridge Books, Cambridge University Press, number 9780521813853.
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