In 1944 Kiyosi Itô published his seminal paper 'Stochastic integral' in Proc. Imp. Acad. Tokyo, MathSciNet link, doi:10.3792/pia/1195572786. Shortly he initiated the study of stochastic integral equation in 1946 and obtained the noted lemma in 1951. See his MacTutor Biograpgy and more about the history of stochastic calculus in Jarrow and Protter (2004).

In 1944 Kiyosi Itô published his seminal paper 'Stochastic integral' in Proc. Imp. Acad. Tokyo, MathSciNet link, doi:10.3792/pia/1195572786. Shortly he initiated the study of stochastic integral equation in 1946 and obtained the noted lemma in 1951. See his MacTutor Biography and more about the history of stochastic calculus in Jarrow and Protter (2004).