Ito process

An Ito Process is a type of stochastic process described by Japanese mathematician Kiyoshi Ito, which can be written as the sum of the integral of a process over time and of another process over a Brownian Motion.

Those processes are the base of Stochastic Integration, and are therefore widely used in Financial Mathematics and Stochastic Calculus.

Description of the Ito Processes

Let $(\Omega ,F,\mathbb {F} ,\mathbb {P} )$ be a probability space with a filtration $\mathbb {F}$ that we consider as complete.