In 1944 Kiyosi Itô published his seminal paper 'Stochastic integral' in Proc. Imp. Acad. Tokyo, [MathSciNet link][1], doi:10.3792/pia/1195572786. Shortly he [initiated][2] the study of stochastic integral equation in 1946 and obtained the noted [lemma][3] in 1951. See his [MacTutor Biograpgy][4] and more about the history of stochastic calculus in [Jarrow and Protter (2004)][5].


  [1]: https://mathscinet.ams.org/mathscinet-getitem?mr=14633
  [2]: https://mathscinet.ams.org/mathscinet-getitem?mr=36958
  [3]: https://mathscinet.ams.org/mathscinet-getitem?mr=44063
  [4]: http://www-history.mcs.st-andrews.ac.uk/Biographies/Ito.html
  [5]: https://projecteuclid.org/download/pdf_1/euclid.lnms/1196285381