The Riemann approach to stochastic integration using non-uniform meshes

DOI10.1016/S0022-247X(03)00059-3zbMath1022.60055OpenAlexW2028281530MaRDI QIDQ1874440

Tuan Seng Chew, Tin Lam Toh

Publication date: 25 May 2003

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0022-247x(03)00059-3

zbMATH Keywords

semimartingalesstochastic integrationRiemann sum

Mathematics Subject Classification ID

Stochastic integrals (60H05) Stochastic integral equations (60H20)

Related Items (15)

The Non-uniform Riemann Approach to Anticipating Stochastic Integrals ⋮ Stratonovich-Henstock integral for the operator-valued stochastic process ⋮ Itô-Henstock integral and Itô's formula for the operator-valued stochastic process ⋮ A descriptive definition of the backwards Itô-Henstock integral ⋮ A note on Henstock-Itô's non-stochastic integral ⋮ A descriptive definition of the Itô-Henstock integral for the operator-valued stochastic process ⋮ The Kurzweil-Henstock theory of stochastic integration ⋮ Double Lusin condition and Vitali convergence theorem for the Itô-McShane integral ⋮ On Henstock method to Stratonovich integral with respect to continuous semimartingale ⋮ Unnamed Item ⋮ Backwards Itô-Henstock's version of Itô's formula ⋮ On Ito-Kurzweil-Henstock Integral and Integration-by-Part Formula ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Henstock's multiple Wiener integral and Henstock's version of Hu-Meyer theorem

Cites Work

• Stochastic and other functional integrals
• A two-sided stochastic integral and its calculus
• Stochastic calculus with anticipating integrands
• On Kurzweil generalized ordinary differential equations
• An extension of stochastic integrals in the plane
• A comparison of stochastic integrals
• Integration with respect to fractal functions and stochastic calculus. I
• Stochastic integrals of Itô and Henstock
• Multiple Wiener integral
• The Efficiency of Convergence Factors for Functions of a Continuous Real Variable
• Generalized ordinary differential equations and continuous dependence on a parameter
• On a Generalization of a Stochastic Integral
• A New Representation for Stochastic Integrals and Equations
• On McShane’s Belated Stochastic Integral
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