K. Ito, founder of stochastic calculus

I met K. Ito in, I think, 1979, when he visited Bedford College, and gave us a talk on two-time stochastic processes. I saw him again in 1983, when I gave a seminar at Tokyo University, on the joint work with Hudson. I was explaining that by Wick ordering a quantised field, the Ito differential of a Wick ordered polynomial P is the Wick-ordered form of the ordinary differential of the polynomial P. In question-time, a voice form the back claimed that I had omitted an important correction, and that stochastic calculus differs from the usual rules. I realised that I had not properly explained that Wick ordering converts a polynomial into a martingale, so I replied "I think you are referring to the Ito correction..." After the laughter had died down, someone let me know that the questioner was K. Ito.



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© by Ray Streater, 22/10/00.