Itô isometry is a fundamental concept in the theory of stochastic calculus, particularly in the context of Itô integrals. It provides an important relationship between the Itô integral and the expected value of the square of a stochastic process. Specifically, it states that the Itô integral preserves the inner product structure associated with the underlying probability space.
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For a square-integrable predictable process and Brownian motion ,More generally, for a continuous -bounded martingale ,