stochastic integral

stochastic integral

[stō′kas·tik ′int·ə·grəl] (mathematics) An integral used to construct the sample functions of a general diffusion process from those of a Wiener process; it has the form where {Wt , t ≥ 0} is a Wiener process, dWt represents the random disturbances occurring in an infinitesimal time interval dt, and at is independent of future disturbances. Also known as Itô's integral.