Stochastic integrals of Itô and Henstock
type: Item
instance of: scholarly article
title: Stochastic integrals of Itô and Henstock
zbMATH Open document ID: 0806.28009
author: Jiagu Xu
author: Peng-Yee Lee
published in: Real Analysis Exchange
publication date: 1995-02-13T00:00:00Z
review text: The stochastic integral of Itô is defined measure theoretically, whereas the general theory of Henstock is defined using Riemann sums [see \textit{R. Henstock}: ``The general theory of integration'' (1991; Zbl 0745.26006)]. The authors define the stochastic integral of Henstock and show that it includes that of Itô and that the corresponding Itô's formula holds. However, it remains to give an example to show that there is a process which is integrable in the sense of Henstock but not of Itô.
Mathematics Subject Classification ID: 28C20
Mathematics Subject Classification ID: 60H05
zbMATH DE Number: 465095
zbMATH Keywords: stochastic integral of Itô
zbMATH Keywords: stochastic integral of Henstock
reviewed by: Peng-Yee Lee
MaRDI profile type: Publication
description: scientific article; zbMATH DE number 465095