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arXiv · 2305.10695

A Counterexample in Ito Integration Theory

Lars Tyge Nielsen
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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. 2023-05-18. A Counterexample in Ito Integration Theory. https://arxiv.org/abs/2305.10695

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