Industry WIKI

In probability theory, Girsanov's theorem or the Cameron-Martin-Girsanov theorem explains how stochastic processes change under changes in measure.

Itô calculus, named after Kiyosi Itô, extends the methods of calculus to stochastic processes such as Brownian motion (see Wiener process). It has important applications in mathematical finance, in stochastic differential equations, and more recently even in machine learning.