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Why this stochastic integral is calculated with Riemann integral

For any semi martingale $X$ (in particular for $X_t=W_t$ or for $X_t=t$) we have $$\tag{1} \int_0^t dX_s=X_t-X_0\,. $$ You are correct that the Ito integral uses the limit procedure $$\tag{2} \int_0^t …
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1 vote

Parametric Stochastic Integral

I am having trouble to understand your notation $$ \int_t^Td\xi(t,s)g(s)\,ds\,. $$ What is the meaning of this when you switch from the differential form $dF_t$ to the integral form $$ F_t=F_0-\int_0^ …
Kurt G.'s user avatar
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