Hello everyone,I am looking for books/papers providing a classifcation of stochastic integrals (and representation theorems for processes in terms of such integrals) obtained by matching integrands and integrators, that is something like "If the integrator has continuous quadratic variation, then in order for the integral to exist, the integrand must be adapted; if we relax the assumption of continuity, then the integrand must be at least progressively measurable etc etc", where the list continues by weakening the conditions on the integrator and consequently changing the requirement on the integrand.Does anyone have any leads?Thank you all in advance,Giacomo

If you are really serious about stochastic integrals, I'd recommend the book by Protter: http://www.amazon.com/exec/obidos/tg/de ... ce&s=books

Thank you,I have got it, so I will get on and read it. Did you already read it? What is your opinion about it?Giacomo

It is a excellent book. (disclaimer, my opinion might be biased since I am personally related to the author )I think depends on your background, but this book is a standard reference for people doing stochastic calculus.

R(x) = x?

No, I studied with him

I see.A thing of beauty, stochastic analysis, don't you think?

Yes.

Thanks

This article might be related to your question also: http://www.orie.cornell.edu/~protter/We ... .pdfcheers,