【いとうかてい (Itô process)】
{ B ( t ) } t ≥ 0 {\displaystyle \{B(t)\}_{t\geq 0}\,} をブラウン運動, { Φ ( t ) } t ≥ 0 {\displaystyle \{\Phi (t)\}_{t\geq 0}\,} , { Ψ ( t ) } t ≥ 0 {\displaystyle \{\Psi (t)\}_{t\geq 0}\,} をそれぞれ,
E ( ∫ 0 t Φ ( s ) 2 d s ) < ∞ , t > 0 , E ( ∫ 0 t Ψ ( s ) d s ) < ∞ , t > 0 , {\displaystyle {\begin{array}{ll}\displaystyle {\mathrm {E} {\Bigl (}\int _{0}^{t}\Phi (s)^{2}\,\mathrm {d} s{\Bigr )}<\infty },&t>0,\\\displaystyle {\mathrm {E} {\Bigl (}\int _{0}^{t}\Psi (s)\,\mathrm {d} s{\Bigr )}<\infty },&t>0,\end{array}}\,}
を満たす確率過程としたとき,
X ( t ) = X ( 0 ) + ∫ 0 t Φ ( s ) d B ( s ) + ∫ 0 t Ψ ( s ) d s {\displaystyle X(t)=X(0)+\int _{0}^{t}\Phi (s)\,\mathrm {d} B(s)+\int _{0}^{t}\Psi (s)\,\mathrm {d} s\,}
と表される確率過程.
をブラウン運動, 
, 
をそれぞれ,
