Brownian Motion is an Ito Integrator with Unit Intensity
lemmaProbabilitylem:brownian-motion-ito-integrator-2026aLet be a standard Brownian motion on a probability space , and let be its natural filtration.
Then is a square-integrable martingale with respect to , and the pair with constant intensity is an It^{o} integrator of intensity type with respect to .
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