On Ito-Kurzweil-Henstock Integral and Integration-by-Part Formula

DOI10.1007/S10587-005-0052-7zbMath1081.26005OpenAlexW2016040268MaRDI QIDQ3366746

Tuan Seng Chew, Tin Lam Toh

Publication date: 14 February 2006

Published in: Czechoslovak Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/30975

zbMATH Keywords

stochastic integralgeneralized Riemann approachintegration-by-parts

Mathematics Subject Classification ID

Stochastic integrals (60H05) Denjoy and Perron integrals, other special integrals (26A39)

Related Items (8)

Stratonovich-Henstock integral for the operator-valued stochastic process ⋮ The Itô-Henstock stochastic differential equations ⋮ A descriptive definition of the backwards Itô-Henstock integral ⋮ Double Lusin condition and convergence theorems for the backwards Itô-Henstock integral ⋮ A note on Henstock-Itô's non-stochastic integral ⋮ 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

Cites Work

• A comparison of stochastic integrals
• The Riemann approach to stochastic integration using non-uniform meshes
• The Efficiency of Convergence Factors for Functions of a Continuous Real Variable
• Generalized ordinary differential equations and continuous dependence on a parameter
• On McShane’s Belated Stochastic Integral
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