Abstract.
The main facts of K. Itô’s stochastic integration as well as excursion theory are presented, together with a number of applications.
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General references to K.Itô’s works
K. Itô, Selected Papers (with an Introduction by D. Stroock and S. Varadlian), Springer, 1987.
N. Ikeda, S.Watanabe, M. Fukushima and H. Kunita (eds.), Itô’s Stochastic Calculus and Probability Theory, Springer, 1996.
P. Salminen, P. Vallois, and M. Yor, On the excursion theory for linear diffusions. Japan. J. Math., 2 (2007), 97–127.
M. Yor, Comment K.Itô a révolutionné l’étude des processus stochastiques. Gaz. Math., 111 (2007), 51-56.
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Communicated by: Toshiyuki Kobayashi
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Yor, M. How K. Itô revolutionized the study of stochastic processes. Jpn. J. Math. 2, 137–143 (2007). https://doi.org/10.1007/s11537-007-0713-4
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DOI: https://doi.org/10.1007/s11537-007-0713-4