Henstock's version of Itô's formula (Q541382): Difference between revisions
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| Property / review text | |||
Itô's Formula is a very useful tool in the stochastic calculus. In this paper, the authors, using the generalized Riemann integral approach, gave a simpler and direct proof of Itô's Formula. | |||
| Property / review text: Itô's Formula is a very useful tool in the stochastic calculus. In this paper, the authors, using the generalized Riemann integral approach, gave a simpler and direct proof of Itô's Formula. / rank | |||
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| Property / reviewed by | |||
| Property / reviewed by: Jitan Lu / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 26A39 / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 60H05 / rank | |||
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| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 5904825 / rank | |||
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| Property / zbMATH Keywords | |||
Itô's formula | |||
| Property / zbMATH Keywords: Itô's formula / rank | |||
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| Property / zbMATH Keywords | |||
Henstock's stochastic integral | |||
| Property / zbMATH Keywords: Henstock's stochastic integral / rank | |||
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| Property / zbMATH Keywords | |||
generalized Riemann approach | |||
| Property / zbMATH Keywords: generalized Riemann approach / rank | |||
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Revision as of 10:19, 1 July 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Henstock's version of Itô's formula |
scientific article |
Statements
Henstock's version of Itô's formula (English)
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7 June 2011
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Itô's Formula is a very useful tool in the stochastic calculus. In this paper, the authors, using the generalized Riemann integral approach, gave a simpler and direct proof of Itô's Formula.
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Itô's formula
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Henstock's stochastic integral
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generalized Riemann approach
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